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.