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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2011

We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the...

Persistent link: https://www.econbiz.de/10009148814

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Persistent link: https://www.econbiz.de/10011072230

Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange

Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … documented, which motivates the use of a flexible and robust methodology such as the Realized GARCH. Within this framework …-of-sample results for the Realized GARCH forecasts suggest a limited added value from using “traditional” realized volatility measures …

Persistent link: https://www.econbiz.de/10010945126

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2007

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...

Persistent link: https://www.econbiz.de/10005787549

Power variation for Gaussian processes with stationary increments

Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; … - School of Economics and Management, University of Aarhus - 2007

We develop the asymptotic theory for the realised power variation of the processes X = f • G, where G is a Gaussian process with stationary increments. More specifically, under some mild assumptions on the variance function of the increments of G and certain regularity condition on the path of...

Persistent link: https://www.econbiz.de/10005787562

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2007

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

Persistent link: https://www.econbiz.de/10005440034

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

We consider a new class of estimators for volatility functionals in the setting of frequently observed Itô diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of...

Persistent link: https://www.econbiz.de/10005440053

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2008

This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis...

Persistent link: https://www.econbiz.de/10005440072

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2008

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t;Xt)dt + _(t;Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

Persistent link: https://www.econbiz.de/10005114121