Narrow search
Showing 1 - 3 of 3
Cover Image
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2010
This paper studies the impact of jumps on volatility estimation and inference based on various realised variation … Standard & Poor’s Depository Receipt (SPY), we investigate the impact of jumps on inference on volatility by realised variance …
Persistent link: https://www.econbiz.de/10008677230
Cover Image
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011
stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates that the inference …
Persistent link: https://www.econbiz.de/10010851195
Cover Image
The limiting behavior of the estimated parameters in a misspecified random field regression model
Dahl, Christian M.; Qin, Yu - School of Economics and Management, University of Aarhus - 2008
those presented here. Our results indicate that classical statistical inference techniques, in general, works very well for …
Persistent link: https://www.econbiz.de/10005787569