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- W1661988052 abstract "This paper studies the effect of time - inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Levy-driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated variance. Nevertheless it can be used within a quasi-maximum likelihood setup to draw inference on the model parameters. In order to do that, this paper introduces a new methodology for deriving all cumulants of the returns and realised variance in explicit form by solving a recursive system of inhomogeneous ordinary differential equations." @default.
- W1661988052 created "2016-06-24" @default.
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- W1661988052 date "2008-01-01" @default.
- W1661988052 modified "2023-10-16" @default.
- W1661988052 title "Impact of Time-Inhomogeneous Jumps and Leverage Type Effects on Returns and Realised Variances" @default.
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- W1661988052 doi "https://doi.org/10.2139/ssrn.1298976" @default.
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