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We consider the construction of normal inverse Gaussian (NIG) (and some related) Levy processes from the probabilistic viewpoint and from that of the theory of pseudo-differential operators; we then introduce and analyse natural generalizations of these constructions. The resulting Feller...
Persistent link: https://www.econbiz.de/10009208390
Realized kernels use high-frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same...
Persistent link: https://www.econbiz.de/10008469058
We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view, the interaction of the new...
Persistent link: https://www.econbiz.de/10012736308
We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from...
Persistent link: https://www.econbiz.de/10012723284
This paper shows how to use realised kernels to carry out efficient feasible inference on the ex-post variation of underlying equity prices in the presence of simple models of market frictions. The issue is subtle with only estimators which have symmetric weights delivering consistent estimators...
Persistent link: https://www.econbiz.de/10012727642
In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects
Persistent link: https://www.econbiz.de/10012785331
In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...
Persistent link: https://www.econbiz.de/10012785898