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- W3122308924 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–maximumlikelihood 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.
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- W3122308924 date "2008-11-10" @default.
- W3122308924 modified "2023-09-27" @default.
- W3122308924 title "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances" @default.
- W3122308924 hasPublicationYear "2008" @default.
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