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- W4237977796 abstract "Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein–Uhlenbeck and other continuous-time CARMA models as well as continuous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functionals of price and volatility processes for discrete observations of the price process on a grid, which are relevant for estimation and testing problems." @default.
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- W4237977796 date "2012-12-01" @default.
- W4237977796 modified "2023-09-29" @default.
- W4237977796 title "Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data" @default.
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- W4237977796 doi "https://doi.org/10.1017/s0021900200012778" @default.
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