Search Results - subject:"Quadratic Variation"

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Hautsch, Nikolaus; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …

Persistent link: https://www.econbiz.de/10008490350

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Hautsch, Nikolaus; Podolskij, Mark - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …

Persistent link: https://www.econbiz.de/10008461100

Quadratic Variation by Markov Chains

Hansen, Peter Reinhard; Horel, Guillaume - School of Economics and Management, University of Aarhus - 2009

We introduce a novel estimator of the quadratic variation that is based on the theory of Markov chains. The estimator … CREATES Research Paper 2009-13 Quadratic Variation by Markov Chains Peter Reinhard Hansen and Guillaume Horel … Quadratic Variation by Markov Chains Peter Reinhard Hansen Stanford University Department of Economics Stanford, CA 94305, USA …

Persistent link: https://www.econbiz.de/10004990847

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - Institute of Economic Research, Hitotsubashi University - 2009

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10005784007

Realized Volatility and Multipower Variation

Andersen, Torben G.; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009

This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from...

Persistent link: https://www.econbiz.de/10008577800

Quadratic covariation estimates in non-smooth stochastic calculus

Monter, Almada; Angel, Sergio - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 343-361

Given a Brownian Motion W, in this paper we study the asymptotic behavior, as ε→0, of the quadratic covariation between f(εW) and W in the case in which f is not smooth. Among the main features discovered is that the speed of the decay in the case f∈Cα is at least polynomial in ε and not...

Persistent link: https://www.econbiz.de/10011077900

Matrix normalized convergence of a Lévy process to normality at zero

Maller, Ross A.; Mason, David M. - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2353-2382

We give a necessary and sufficient condition for a d-dimensional Lévy process to be in the matrix normalized domain of attraction of a d-dimensional normal random vector, as t↓0. This transfers to the Lévy case classical results of Feller, Khinchin, Lévy and Hahn and Klass for random walks....

Persistent link: https://www.econbiz.de/10011209778

GARCH model estimation using estimated quadratic variation

Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192

Persistent link: https://www.econbiz.de/10011483454

Two-scale realized kernels : a univariate case

Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165

Persistent link: https://www.econbiz.de/10010519659

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - 2008

framework this method can be used to define both estimators for the entire quadratic variation of the underlying process and …

Persistent link: https://www.econbiz.de/10010300680