Search Results - subject:"Bipower Variation"

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2003

In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We...

Persistent link: https://www.econbiz.de/10005730260

Power and bipower variation with stochastic volatility and jumps

Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2003

This paper shows that realised power variation and its extension we introduce here called realised bipower variation is … somewhat robust to rare jumps. We show realised bipower variation estimates integrated variance in SV models --- thus providing … infrequent jumps process then the difference between realised variance and realised bipower variation estimates the quadratic …

Persistent link: https://www.econbiz.de/10010605142

The effect of infrequent trading on detecting price jumps

Schulz, Frowin; Mosler, Karl - In: AStA Advances in Statistical Analysis 95 (2011) 1, pp. 27-58

Persistent link: https://www.econbiz.de/10008925213

Jump Distribution Characteristics: Evidence from European Stock Markets

Ane, Thierry; Metais, Carole - In: International Journal of Business and Economics 9 (2010) 1, pp. 1-22

A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum …

Persistent link: https://www.econbiz.de/10010837264

The properties and mechanism of long-term memory in nonparametric volatility

Li, Handong; Cao, Shi-Nan; Wang, Yan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3254-3259

Recent empirical literature documents the presence of long-term memory in return volatility. But the mechanism of the existence of long-term memory is still unclear. In this paper, we investigate the origin and properties of long-term memory with nonparametric volatility, using high-frequency...

Persistent link: https://www.econbiz.de/10010589898

Jump detection and long range dependence

Pirino, Davide - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 7, pp. 1150-1156

propose threshold bipower variation as an alternative volatility estimator unaffected by discontinuous variations. We also …

Persistent link: https://www.econbiz.de/10010589028

Volatility forecasting: the jumps do matter

Corsi, Fulvio; Pirino, Davide; Renò, Roberto - Dipartimento di Economia Politica e Statistics, … - 2008

based on the joint use of bipower variation and threshold estimation. With respect to alternative methods, our TMPV …

Persistent link: https://www.econbiz.de/10005766526

Feasible inference for realised variance in the presence of jumps

Veraart, Almut Elisabeth Dorothea - Finance Research Centre, Oxford University - 2007

on generalized versions of the realized variance and the realized bipower variation. We prove the consistency of this …

Persistent link: https://www.econbiz.de/10005730015

Recovering Probabilistic Information From Options Prices and the Underlying

Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2007

risk by extracting bipower variation. …

Persistent link: https://www.econbiz.de/10005750179

A Note on the Central Limit Theorem for Bipower Variation of General Functions

Kinnebrock, Silja; Podolskij, Mark - Finance Research Centre, Oxford University - 2007

In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even...

Persistent link: https://www.econbiz.de/10005227076