Showing 1 - 10 of 222
See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.
Persistent link: https://www.econbiz.de/10008833330
like seasonal regularities, mean reversion and price jumps or spikes. Furthermore, a replication of futures and forward … with stochastic volatility and jumps. The jumps do not only occur in the price process, but also in the volatility process …
Persistent link: https://www.econbiz.de/10009475314
frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10010281504
of the carbon price variance are triggered by jumps. Information regarding EUA supply and news from international carbon …
Persistent link: https://www.econbiz.de/10010281924
,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 … stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their contribution … of jumps in around 22.8% of the days during the 1993-2000 period, and in 9.4% of the days during the 2001-2008 period …
Persistent link: https://www.econbiz.de/10010282828
This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...
Persistent link: https://www.econbiz.de/10010282854
variables. We then provide empirical evidence on small and large jumps from the perspective of their contribution to overall … and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days during … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …
Persistent link: https://www.econbiz.de/10010282858
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...
Persistent link: https://www.econbiz.de/10010282862
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10010282869
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10010290348