Search Results - subject:"Power Variation"

On the jump activity index for semimartingales

Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per - In: Journal of Econometrics 166 (2012) 2, pp. 213-223

Empirical evidence of asset price discontinuities or “jumps” in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general “jump activity index” to describe the degree of jump activities for asset price semimartingales, and...

Persistent link: https://www.econbiz.de/10011052294

Estimation of the instantaneous volatility

Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; … - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 27-59

Persistent link: https://www.econbiz.de/10010539197

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2004

This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here …

Persistent link: https://www.econbiz.de/10009441547

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Francis X. Diebold - 2003

c,d) for related bi-power variation measures involving the sum of high-frequency absolute returns, the present paper …

Persistent link: https://www.econbiz.de/10010311998

Power variation and stochastic volatility: a review and some new results

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

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of …

Persistent link: https://www.econbiz.de/10010820305

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Center for Financial Studies - 2003

c,d) for related bi-power variation measures involving the sum of high-frequency absolute returns, the present paper …

Persistent link: https://www.econbiz.de/10010958718

Power variation & stochastic volatility: a review and some new results

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - Economics Group, Nuffield College, University of Oxford - 2003

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of …

Persistent link: https://www.econbiz.de/10005730325

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Center for Financial Studies - 2003

c,d) for related bi-power variation measures involving the sum of high-frequency absolute returns, the present paper …

Persistent link: https://www.econbiz.de/10005120777

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 …

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

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

c,d) for related bi-power variation measures involving the sum of high-frequency absolute returns, the present paper …

Persistent link: https://www.econbiz.de/10009764770