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How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Veraart, Almut - In: AStA Advances in Statistical Analysis 95 (2011) 3, pp. 253-291
Persistent link: https://www.econbiz.de/10009324602
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2009
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
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of Econometrics 172 (2013) 2, pp. 307-324
. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …
Persistent link: https://www.econbiz.de/10011052337
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of Econometrics 178 (2014) P3, pp. 523-538
We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our...
Persistent link: https://www.econbiz.de/10010730133
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Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts
Huang, Shirley J.; Liu, Qianqiu; Yu, Jun - In: Annals of Economics and Finance 8 (2007) 1, pp. 33-56
In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...
Persistent link: https://www.econbiz.de/10009228652
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Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering
Malik, S.; Pitt, M. K. - Banque de France - 2011
In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a … general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … stock price index for various spans. In assessing the relative performance of SV with leverage and jumps and nested …
Persistent link: https://www.econbiz.de/10008854101
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How accurate is the asymptotic approximation to the distribution of realised variance
Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2002
In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of...
Persistent link: https://www.econbiz.de/10010604906
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Power Variation and Time Change
Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2002
This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial...
Persistent link: https://www.econbiz.de/10010604911
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2003
In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties …
Persistent link: https://www.econbiz.de/10010605177
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Measuring and forecasting financial variability using realised variance with and without a model
Ysusi, Carla; Nielsen, Bent - Department of Economics, Oxford University - 2002
We use high frequency financial data to proxy, via the realised variance, each days financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...
Persistent link: https://www.econbiz.de/10010605279