Keyphrases
Market Microstructure Noise
100%
High-frequency Data
94%
Volatility
87%
Continuous-time Model
59%
Asset Returns
53%
Portfolio Choice
48%
Nonparametric
41%
Financial Econometrics
35%
Volatility Estimators
35%
Maximum Likelihood Estimation
35%
Stochastic Volatility Model
35%
Jump Component
34%
Econometrics
33%
Estimation Method
32%
Asset Prices
31%
Semimartingale
30%
Quadratic Variation
29%
Jump Process
27%
Option Price
26%
Risk Premia
23%
Global Market
23%
Asymptotic Distribution
23%
High Frequency Markets
23%
Financial Data
23%
State Price Density
23%
Covariance Estimation
23%
Principal Coordinate Analysis (PCoA)
23%
Jump Test
23%
Test Statistic
23%
Leverage Effect
23%
Market Value
23%
Affine
21%
Continuous Time Process
21%
Continuous-time
21%
Discrete-time
21%
Discrete Data
21%
Nonparametric Estimation
21%
Option Pricing
20%
Price Process
18%
Monte Carlo Simulation
18%
Degree of Activity
17%
Conditional Moments
17%
Jump Intensity
17%
Contagion
17%
Lvy Processes
17%
Quadratic Covariation
17%
Realized Volatility
17%
Market Microstructure
17%
Efficient Estimator
17%
Discretely Sampled Diffusions
17%
Closed-form Expansion
17%
Blumenthal-Getoor Index
17%
Jump Phenomenon
17%
Risk Aversion
17%
Financial Asset Prices
17%
Portfolio Allocation
17%
Likelihood Function
17%
Tick-by-tick Data
17%
Risk Management
17%
Finite Activity
17%
Infinite Activity
17%
Discretely Sampled Process
17%
S&P 500
17%
Variance Swap
16%
Risk-neutral Density
15%
Financial Markets
15%
Infinite-activity Jumps
15%
Stock Returns
15%
Traders
15%
Option-implied Volatility
14%
Closed-form Approximation
14%
Asymptotic Properties
14%
Asset Pricing
14%
Excess Kurtosis
14%
Risk Premium
14%
Liquidity
14%
Price Change
14%
S&P 500 Options
12%
Time-varying Correlation
11%
Optimal Portfolio
11%
Tuning Parameter
11%
Volatility Correlations
11%
Monte Carlo
11%
Market Response
11%
Policy Initiatives
11%
Frequency Factor
11%
Continuous and Discontinuous
11%
Integrated Volatility
11%
High-frequency Financial Data
11%
Global Financial Crisis
11%
Interest Rate Models
11%
Market Making
11%
Options Markets
11%
Stochastic Volatility Model with Jumps
11%
Small Jumps
11%
Volatility Components
11%
Sample Covariance
11%
Return Volatility
11%
Underlying Asset
11%
Return Jumps
11%
Mathematics
Continuous Time Model
92%
Continuous Time
84%
Closed Form
80%
High-Frequency Data
59%
Stochastic Volatility Model
35%
Maximum Likelihood Estimation
35%
Discrete Time
31%
Test Statistic
29%
Sampling Interval
29%
Asymptotic Property
26%
Likelihood Function
25%
Lvy Process
23%
Diffusion Process
23%
Asymptotics
23%
Successive Observation
23%
Principal Component Analysis
23%
Timescale
23%
Infinite Activity
23%
Monte Carlo
22%
Implied Volatility
21%
Asymptotic Distribution
21%
Variance
21%
Time Process
21%
Transition Density
21%
Parametric
18%
Time Markov Process
17%
Asset Price
17%
Stochastic Volatility
15%
time interval τ
15%
Discrete Approximation
15%
Statistics
14%
Vector Function
11%
Residual Sum
11%
Parameter Vector
11%
Unknown Function
11%
Estimation Approach
11%
Fisher Information
11%
Quadratic Variation
11%
Moment Estimator
11%
Inferential Statistics
11%
Covariance
11%
Asymptotic Behavior
11%
Matrix (Mathematics)
11%
Population Parameter
11%
Stationarity
11%
Sample Statistic
11%
Residuals
11%
Statistical Principle
11%
Sample Path
11%
Stochastic Model
11%
Moment Condition
11%
Characteristic Function
11%
Null
11%
Nonparametric Test
11%
Pure-Jump Process
11%
Test Hypothesis
11%
Covariance Matrix
11%
Sum of Squares
11%
Principal Components
11%
Common Factor
11%
Saddle Point Approximation
11%
Stochastic Differential Equation
11%
Nonparametric Estimation
11%
Leverage Effect
11%
Edgeworth Expansion
11%
Maximum Likelihood Estimator
9%
Approximates
7%
Supplementary Material
6%
Stationary Process
5%
Diffusion Model
5%
Stable Process
5%
Smaller Sample
5%
Forecasting Ability
5%
Option Pricing
5%
Strict Stationarity
5%
Cumulative Distribution Function
5%
Past Decade
5%
Markov Process
5%
Continuous Data
5%
Kolmogorov Equation
5%
Stochastics
5%
Stock Market
5%
Log Likelihood Function
5%
Local Time
5%
Scale Estimator
5%
Gaussian Distribution
5%
Normal Approximation
5%
Data Sample
5%
Hermite Polynomial
5%
Sample Distribution
5%
