Search Results - subject:"Quadratic Variation"

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

Barndorff-Nielsen, Ole E.; Graversen, Svend-Erik; … - 2004

, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also …

Persistent link: https://www.econbiz.de/10009441482

Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise

Shephard, Neil - Department of Economics, Oxford University - 2004

We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the...

Persistent link: https://www.econbiz.de/10010661376

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Shephard, Neil - Department of Economics, Oxford University - 2004

Persistent link: https://www.econbiz.de/10010661405

Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics

Phillips, Peter C.B.; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1992

This paper offers an approach to time series modeling that attempts to reconcile classical and Bayesian methods. The central idea put forward to achieve this reconciliation is that the Bayesian approach relies implicitly on a frame of reference for the data generating mechanism that is quite...

Persistent link: https://www.econbiz.de/10005249284

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003

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/10005102075

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. - Department of Economics, University of Pennsylvania - 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/10005150230

Econometrics of testing for jumps in financial economics using bipower variation

Shephard, Neil; Barndorff-Nielsen, Ole - Department of Economics, Oxford University - 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/10010661350

A feasible central limit theory for realised volatility under leverage

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

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/10010661378

Estimating quadratic variation using realized variance

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2002

This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of … estimator of quadratic variation (QV). We express concern that without additional assumptions it seems difficult to give any …. (2002). 'Estimating quadratic variation using realized variance', Journal of Applied Econometrics, 17(5), 457 …

Persistent link: https://www.econbiz.de/10009441446

Stochastic volatility, jumps and hidden time changes

Yor, Marc; Madan, Dilip B.; Geman, Hélyette - In: Finance and Stochastics 6 (2002) 1, pp. 63-90

discontinuous process and we inquire into the relation between the realized variance or quadratic variation of the process and the …

Persistent link: https://www.econbiz.de/10005613455