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Autor

Nome:
Katja Ignatieva
e-mail:
k.ignatieva@unsw.edu.au
Artigos 3:

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidence from the Commodity Market
José da Fonseca, Katja Ignatieva
Journal of Banking and Finance, vol. 99, 2019, p. 45-62.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
José da Fonseca, Katja Ignatieva, Jonathan Ziveyi
Energy Economics, vol. 56, 2016, p. 215-228.

Empirical Analysis of Affine versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
Katja Ignatieva, Paulo Rodrigues, Norman Seeger
Journal of Business and Economic Statistics, vol. 33, 2015, p. 68-75.

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