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Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,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....

Persistent link: https://www.econbiz.de/10009151972

Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

McCloskey, Adam - 2012 - This version: October 2012

-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …

Persistent link: https://www.econbiz.de/10009660446

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality

Vatter, Thibault - 2016

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10013007161

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks

Duong, Diep - 2013

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a, 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...

Persistent link: https://www.econbiz.de/10013092868

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …

Persistent link: https://www.econbiz.de/10010326148

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

wide range of estimation procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized …

Persistent link: https://www.econbiz.de/10011295703

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10012591572

Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models

Chen, Cathy W. S.; Gerlach, Richard H.; Choy, Boris; … - 2009

A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling...

Persistent link: https://www.econbiz.de/10014204112