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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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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance
Mykland, Per A. - 2016
asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original … solution to this problem, which we call Observed Asymptotic Variance. It is a general nonparametric method for assessing … asymptotic variance (AVAR). It provides consistent estimators of AVAR for a broad class of integrated parameters Θ =\int θ_t dt …
Persistent link: https://www.econbiz.de/10013006101
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Realized Volatility When Sampling Times are Possibly Endogenous
Li, Yingying - 2013
When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time...
Persistent link: https://www.econbiz.de/10013095254
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Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times
Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021
We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...
Persistent link: https://www.econbiz.de/10013321639
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Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
resorting to any variance reduction technique. We back-test the model on a six-dimensional exchange-rate time series and collect …
Persistent link: https://www.econbiz.de/10005858366
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Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-stationary Return Series Model
Gürtler, Marc; Rauh, Ronald - Institut für Finanzwirtschaft <Braunschweig> - 2009
In this paper we first investigate the validity of a general Value at Risk approach, which iswidely used for risk management in banking and insurance companies. We discuss and widely rejectthe conventional assumptions, e.g. independent identically distributed normal returns, and as...
Persistent link: https://www.econbiz.de/10005869539
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Option-implied term structures
Vogt, Erik - 2014
term structure of the variance risk premium and finds that a short-run component dominates market excess return …
Persistent link: https://www.econbiz.de/10010459730
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...
Persistent link: https://www.econbiz.de/10010477582
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The Economic Value of Bitcoin : A Portfolio Analysis of Currencies, Gold, Oil and Stocks
Symitsi, Efthymia - 2018
We assess the out-of-sample performance of Bitcoin within portfolios of various asset classes and a well-diversified portfolio employing standard metrics under four strategies. Most importantly, we show the value-added net of transaction costs. Our findings suggest significant diversification...
Persistent link: https://www.econbiz.de/10012926958
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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