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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Spot Variance Path Estimation and Its Application to High Frequency Jump Testing
Bos, Charles S. - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10013153285
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Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression
Barunik, Jozef; Barunikova, Michaela - 2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized … volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of … future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular …
Persistent link: https://www.econbiz.de/10011280711
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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Baruník, Jozef - 2013
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized … volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model …-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the …
Persistent link: https://www.econbiz.de/10013090381
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Nonparametric Inference of Jump Autocorrelation
Kwok, Simon - 2020
Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...
Persistent link: https://www.econbiz.de/10012824843
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Efficient Estimation of a Multivariate Multiplicative Volatility Model
Hafner, Christian - 2010
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …
Persistent link: https://www.econbiz.de/10013148178
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …
Persistent link: https://www.econbiz.de/10010340740
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Powerful Tests for Structural Changes in Volatility
Xu, Ke-Li - 2012
Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts … observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a …
Persistent link: https://www.econbiz.de/10013097450