We estimate a general microstructure model of the transitory and permanent impact of order
flow on stock prices. Jumps are detected in both the transaction price (observation equation) …

This paper considers spot variance path estimation from datasets of intraday high-frequency
asset prices in the presence of diurnal variance patterns, jumps, leverage effects, and …

A common belief is to qualify the credit default swap (CDS) market as very liquid. However,
looking at intra-daily CDS data on individual firms from a major interdealer broker, we find …

This chapter surveys filtering methods, where the state of an unobserved dynamic model is
inferred based on noisy observations. In linear and gaussian models, the Kalman Filter is …

In this thesis, we develop some parameter estimation methods of jump-diffusion process.
The originality of the thesis lies in the fact that the developed estimation methods are …

In this paper a method is developed and implemented to provide the simulated maximum
likelihood estimation of latent diffusions based on discrete data. The method is applicable to …

In this chapter, particle Markov Chain Monte Carlo (PMCMC) method is applied to estimate
ultra-high frequency data models. The class of models is proposed by Zeng (2003), who …

Jumps, Realized volatility and Value-‐at-‐Risk Page 1 1 Jumps, Realized volatility and
Value-‐at-‐Risk Shuai Yang Submitted by Shuai Yang to the University of Exeter as a thesis for …

In this thesis we present developments in measuring and modeling financial volatility. In
financial econometrics, the term volatility is used to denote the measure of variation of asset …

In this paper a method is developed and implemented to provide the simulated maximum
likelihood estimation of latent diffusions based on discrete data. The method is applicable to …