Range-Based Estimation of Quadratic Variation

Arbeitspapier

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the test is well-sized and more powerful than a return-based t-statistic for sampling frequencies normally used in empirical work. Applied to equity data, we show that the intensity of the jump process is not as high as previously reported.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Technical Report ; No. 2006,37

Klassifikation und Themen

• Klassifikation: Econometric and Statistical Methods and Methodology: General ; Data Collection and Data Estimation Methodology; Computer Programs: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Thema: Bipower Variation ; Finite-Activity Counting Processes ; Jump Detection ; Quadratic Variation ; Range-Based Bipower Variation ; Semimartingale Theory

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Christensen, Kim ; Podolskij, Mark
• Ereignis: Veröffentlichung
• (wer): Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
• (wo): Dortmund
• (wann): 2006

Weitere Informationen

• Handle: http://hdl.handle.net/10419/22681
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ