Search Results - subject:"Power Variation"

Limit theorems for power variations of ambit fields driven by white noise

Pakkanen, Mikko S. - In: Stochastic Processes and their Applications 124 (2014) 5, pp. 1942-1973

We study the asymptotics of lattice power variations of two-parameter ambit fields driven by white noise. Our first result is a law of large numbers for power variations. Under a constraint on the memory of the ambit field, normalized power variations converge to certain integral functionals of...

Persistent link: https://www.econbiz.de/10010875068

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-Huei; Wang, Jying-Nan; Kuan, Chung-Ming - In: Review of Quantitative Finance and Accounting 43 (2014) 4, pp. 751-779

This paper proposes a new class of estimators based on the interquantile range of intraday returns, referred to as interquantile range based volatility (IQRBV), to estimate the integrated daily volatility. More importantly and intuitively, it is shown that a properly chosen IQRBV is jump-free...

Persistent link: https://www.econbiz.de/10010989639

Volatility activity : specification and estimation

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 178 (2014) 1, pp. 180-193

Persistent link: https://www.econbiz.de/10010255447

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

Power variation for Gaussian processes with stationary increments

Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; … - School of Economics and Management, University of Aarhus - 2007

We develop the asymptotic theory for the realised power variation of the processes X = f • G, where G is a Gaussian … properly normalised realised power variation. Moreover, under a further assumption on the H¨older index of the path of f, we …

Persistent link: https://www.econbiz.de/10005787562

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - School of Economics and Management, University of Aarhus - 2007

. Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures …

Persistent link: https://www.econbiz.de/10005114119

Power variation from second order differences for pure jump semimartingales

Todorov, Viktor - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2829-2850

We introduce power variation constructed from powers of the second-order differences of a discretely observed pure … underlying process with a fixed time span. Unlike the standard power variation (formed from the first-order differences of the … jump process than for the standard power variation. We apply these results for estimation of the jump activity as well as …

Persistent link: https://www.econbiz.de/10011065044

Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method

Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693

Persistent link: https://www.econbiz.de/10009793469

Limit theorems for multipower variation in the presence of jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias - Economics Group, Nuffield College, University of Oxford - 2005

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Persistent link: https://www.econbiz.de/10005687557

Limit theorems for bipower variation in financial econometrics

Barndorff-Nielsen, Ole E.; Graversen, Sven Erik; Jacod, Jean - Economics Group, Nuffield College, University of Oxford - 2005

financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have …

Persistent link: https://www.econbiz.de/10005730377