Showing 1 - 10 of 22
Persistent link: https://www.econbiz.de/10009581672
In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We...
Persistent link: https://www.econbiz.de/10010661350
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/10010661378
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/10010820305
In this paper we study the detailed distributional properties of integrated non-Gaussian OU (intOU) processes. Both exact and approximate results are given. We emphasise the study of the tail behaviour of the intOU process. Our results have many potential applications in financial economics, for...
Persistent link: https://www.econbiz.de/10010820323
This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility of...
Persistent link: https://www.econbiz.de/10005025510
In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.
Persistent link: https://www.econbiz.de/10005687557
In this paper we study the detailed distributional properties of integrated non-Gaussian OU (intOU) processes. Both exact results and approximate results are given. We emphasise the study of the tail behaviour of the intOU process. Our results have many potential applications in financial...
Persistent link: https://www.econbiz.de/10005812247
The availability of intra-data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we derive the moments and the asymptotic distribution of...
Persistent link: https://www.econbiz.de/10005812268
In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We...
Persistent link: https://www.econbiz.de/10005730260