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英文文献：Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances-时间非齐次跳跃和杠杆型效应对收益和实现方差的影响
英文文献作者：Almut E. D. Veraart
英文文献摘要：
This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Lévy–driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated variance. Nevertheless it can be used within a quasi–maximumlikelihood setup to draw inference on the model parameters. In order to do that, this paper introduces a new methodology for deriving all cumulants of the returns and realised variance in explicit form by solving a recursive system of inhomogeneous ordinary differential equations.
摘要本文研究了在由利维驱动的随机波动率模型给出对数资产价格时，时间非齐次跳跃和杠杆型效应对实现方差计算的影响。在这种模型中，已实现方差是综合方差的不一致估计。然而，它可以在拟最大似然设置中使用，以得出对模型参数的推断。为此，本文引入了一种新的方法，通过求解非齐次常微分方程递推系统，以显式形式导出收益和实现方差的所有累积量。
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