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On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach

https://doi.org/10.1137/19m1266915
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Resolution of policy uncertainty and sudden declines in volatility
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Maximum likelihood estimation of stochastic volatility models
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Lévy Jump Risk: Evidence from Options and Returns
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Modeling financial contagion using mutually exciting jump processes
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The risk premia embedded in index options
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
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A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
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The distribution of realized stock return volatility
inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-snapshot
The jump-risk premia implicit in options: evidence from an integrated time-series study
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The dynamics of stochastic volatility: evidence from underlying and options markets
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Alternative models for stock price dynamics
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Post-'87 crash fears in the S&P 500 futures option market
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Novel approach to nonlinear/non-Gaussian Bayesian state estimation
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Comparing Predictive Accuracy
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Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
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Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
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Note on the Inversion Theorem
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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Maximum Likelihood Estimation of Latent Affine Processes
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Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhq032openalex-snapshot
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
inferredcites →https://doi.org/10.1111/0022-1082.215228openalex-snapshot
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-snapshot
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/1540-6261.00566openalex-snapshot
The Impact of Jumps in Volatility and Returns
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Estimating and testing non‐affine option pricing models with a large unbalanced panel of options
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A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
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Empirical Performance of Alternative Option Pricing Models
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Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
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Model Specification and Risk Premia: Evidence from Futures Options
inferredcites →https://doi.org/10.1162/rest.2010.11549openalex-snapshot
Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
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A Tale of Two Time Scales
inferredcites →https://doi.org/10.1198/073500101316970403openalex-snapshot
MCMC Analysis of Diffusion Models With Application to Finance
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Volatility Jumps
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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Simulated Moments Estimation of Markov Models of Asset Prices

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Supplementary material- On General Semi-closed-form Solutions for VIX Derivative Pricing
inferred← citeshttps://doi.org/10.1016/j.ecosta.2025.03.002openalex-snapshot
Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach
inferred← citeshttps://doi.org/10.1016/j.eneco.2025.108296openalex-snapshot
The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2024.05.006openalex-snapshot
Benefit volatility-targeting strategies in lifetime pension pools
inferred← citeshttps://doi.org/10.1287/mnsc.2020.3949openalex-snapshot
The Informational Content of High-Frequency Option Prices
inferred← citeshttps://doi.org/10.1515/snde-2023-0028openalex-snapshot
A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models
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