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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling … 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/10010303682
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … 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
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - Center for Financial Studies - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling … 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/10010958809
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Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - Duke University, Department of Economics - 2010
We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new Investor Fears index. The index suggests both large and...
Persistent link: https://www.econbiz.de/10008549030
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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … 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/10008490350
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Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …
Persistent link: https://www.econbiz.de/10004980201
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180
We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with...
Persistent link: https://www.econbiz.de/10011077613
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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … 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/10008461100
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The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2010
This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock market using implied volatility as an exogenous variable in the information set. Observed volatility is separated into its continuous and jump components in a framework that...
Persistent link: https://www.econbiz.de/10008462019
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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