Search Results - subject:"Quadratic Variation"

Realized beta: Persistence and predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Persistent link: https://www.econbiz.de/10010298288

Power and bipower variation with stochastic volatility and jumps

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

realized variance and realized bipower variation estimates the quadratic variation of the jump component. This seems to be the … first method that can separate quadratic variation into its continuous and jump components. Various extensions are given …

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

Realized beta: Persistence and predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10010986490

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

The paper evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for beta-mixing processes and EDF-based tests for the residuals of such nonlinear dependent...

Persistent link: https://www.econbiz.de/10005100727

Monitoring for Disruptions in Financial Markets

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

Historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes are studied. These tests are used to monitor the conditional variance of asset returns and to provide early information regarding instabilities or disruptions in financial risk. Data-driven monitoring...

Persistent link: https://www.econbiz.de/10005100955

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

management. JEL Classification: C1, G1 Keywords: quadratic variation and covariation, realized volatility, asset pricing … covariances, or equivalently, empirical quadratic variation and covariation. That is, we do not entertain a null hypothesis of … the return innovation-volatility relations. By the theory of quadratic variation, we have that under weak regularity …

Persistent link: https://www.econbiz.de/10005022455

A Feasible Central Limit Theory for Realised Volatility Under Leverage

Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2004

In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...

Persistent link: https://www.econbiz.de/10005730345

A central limit theorem for realised power and bipower variations of continuous semimartingales

Barndorff-Nielsen, Ole Eiler; Graversen, Svend Erik; … - Institut für Wirtschafts- und Sozialstatistik, … - 2004

Central limit theorem, quadratic variation, bipower variation …

Persistent link: https://www.econbiz.de/10009216950

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

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...

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

"Modeling and Forecasting Realized Volatility"

Bollerslev, T.; Andersen, T.G.; Diebold, F. X.; Labys, P. - 2003

-time arbitrage-free price processes and the theory of quadratic variation, we develop formal links between realized volatility and …

Persistent link: https://www.econbiz.de/10009475490