Book of Donmon Teith

We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using hi

This paper estimates models of high frequency index futures returns using 'around the clock' 5-minute returns that incorporate the following key features: multi

A companion volume to The Econometric Analysis of Time series, this book focuses on the estimation, testing and specification of dynamic models which are not ba

Non-parametric approach to financial time series jump estimation, using the L-Estimator, is compared with the parametric approach utilizing a Stochastic-Volatil