Similar Search Results

Essays in econometrics and time-series analysis

Lee, Tae Suk (1976; Ploberger, Werner; Yildiz, Nese

one can detect jumps of height no smaller than ?t?2log(n)/n. We construct a test which achieves this rate in the case for …. Applying our tests to high-frequency fi?nancial data, we detect more jumps in the data than are found by other tests. …

Persistent link: https://www.econbiz.de/10009482965

Estimating quadratic variation using realized variance

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2002

This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...

Persistent link: https://www.econbiz.de/10009441446

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2006

continuous sample path is frequently rejected. Most of the jumps the statistics identify are associated with governmental …. (2006). 'Econometrics of testing for jumps in financial economics using bipower variation', Journal of Financial …

Persistent link: https://www.econbiz.de/10009441541

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2004

robustness property means that if we have a stochastic volatility plus infrequent jumps process, then the difference between …. (2004). 'Power and bipower variation with stochastic volatility and jumps', Journal of Financial Econometrics, 2(1), 1 …

Persistent link: https://www.econbiz.de/10009441547

A new approach to characterizing and forecasting electricity price volatility

Chan, K. F.; Gray, P.; van Campen, B. - 2008

-trivial challenges. In particular, electricity price series feature extreme jumps of magnitudes rarely seen in financial markets, and …

Persistent link: https://www.econbiz.de/10009448611

Realised power variation and stochastic volatility models

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2003

Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

Persistent link: https://www.econbiz.de/10009441447

Power variation and stochastic volatility: a review and some new results

Barndorff-Nielsen, Ole E.; Graversen, Svend-Erik; … - 2004

In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...

Persistent link: https://www.econbiz.de/10009441482

"Modeling and Forecasting Realized Volatility"

Bollerslev, T.; Andersen, T.G.; Diebold, F. X.; Labys, P. - 2003

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Mostprocedures for modeling and forecasting financial asset return volatilities, correlations,...

Persistent link: https://www.econbiz.de/10009475490

Financial Market Volatility and Jumps

Huang, Xin - 2007

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic … jumps based on recent asymptotic results.Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size …. Theoretical and Monte Carlo analysisindicate that microstructure noise biases the tests against detecting jumps, and thata simple …

Persistent link: https://www.econbiz.de/10009475503

What Type of Process Underlies Options? A Simple Robust Test

CARR, PETER; WU, LIUREN - 2002

We develop a simple robust test for the presence of continuous and discontinuous (jump) components in the price of an asset underlying an option. Our test examines the prices of at-the-money and out-of-the-money options as the option maturity approaches zero. We show that these prices converge...

Persistent link: https://www.econbiz.de/10009440725