Mar 30 2023 Guglielmo Maria Caporale , Juan Infante , Luis Gil-Alana and Raquel Ayestaran   Inflation persistence in Europe: the effects of the covid-19 pandemic and of the Russia-Ukraine war   Abstract  Contact Information  Citation  Full Text  -  Note   Jun 30 2022 Cássio R. A. Alves and Márcio P. Laurini   Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps   Abstract  Contact Information  Citation  Full Text  -  Note   Apr 26 2019 Amélie Charles and Olivier Darné   Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks   Abstract  Contact Information  Citation  Full Text  -  Note   Feb 22 2017 Benjamín Vallejo Jiménez and Francisco Venegas Martínez   Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with multiple Poisson jumps   Abstract  Contact Information  Citation  Full Text  -  Note   Oct 02 2015 Yazmín V. Soriano-Morales , Francisco Venegas-Martínez and Benjamín Vallejo-Jiménez   Determination of the equilibrium expansion rate of money when money supply is driven by a time-homogeneous Markov modulated jump diffusion process   Abstract  Contact Information  Citation  Full Text  -  Note   Mar 11 2015 Prateek Sharma and Swati Sharma   Forecasting gains of robust realized variance estimators: evidence from European stock markets   Abstract  Contact Information  Citation  Full Text  -  Preliminary Result   May 08 2014 Márcio P. Laurini and Roberto B. Mauad   The stochastic volatility model with random jumps and its application to BRL/USD exchange rate.   Abstract  Contact Information  Citation  Full Text  -  Preliminary Result   Apr 18 2013 Benoît Sévi and César Baena   The explanatory power of signed jumps for the risk-return tradeoff   Abstract  Contact Information  Citation  Full Text  -  Note   Jan 23 2012 Shuichi Nagata   Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes   Abstract  Contact Information  Citation  Full Text  -  Note   Jan 13 2012 Benoît Sévi and César Baena   A reassessment of the risk-return tradeoff at the daily horizon   Abstract  Contact Information  Citation  Full Text  -  Note   Nov 13 2011 Benoît Sévi and César Baena   Brownian motion vs. pure-jump processes for individual stocks   Abstract  Contact Information  Citation  Full Text  -  Note   Oct 28 2008 Wan-Hsiu Cheng   Overestimation in the Traditional GARCH Model During Jump Periods   Abstract  Contact Information  Citation  Full Text  -  Preliminary Result