Search Results - subject:"Quadratic Variation"

Measuring downside risk-realised semivariance

Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2008

We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from...

Persistent link: https://www.econbiz.de/10005812270

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; … - Economics Group, Nuffield College, University of Oxford - 2008

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/10005730261

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - Institut für Wirtschafts- und Sozialstatistik, … - 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/10009216880

Volatility and realized quadratic variation of differenced returns : A wavelet method approach

Høg, Esben - Ehrvervøkonomisk Institut, Institut for Økonomi - 2008

, is based on the quadratic variation of the second order log-price differences. This is contrary to the well known … realized quadratic variation of intra daily returns (which is based on first order log-price differences). This latter is known …

Persistent link: https://www.econbiz.de/10004991303

Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation

Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic Modelling 36 (2014) C, pp. 198-203

parameters in fractional Ornstein–Uhlenbeck processes. The estimation procedure is built upon the marriage of the quadratic … variation method and the maximum likelihood approach. The consistency of these estimators is also provided. Simulation outcomes …

Persistent link: https://www.econbiz.de/10010729820

Optimal design of Fourier estimator in the presence of microstructure noise

Wang, Fangfang - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 708-722

The Fourier estimator of Malliavin and Mancino depends on both sample size and a so-called cutting frequency. The latter controls the number of Fourier coefficients to be included, and it also determines how the Fourier estimator responds to market microstructure noise. By examining the finite...

Persistent link: https://www.econbiz.de/10010776995

The covariation for Banach space valued processes and applications

Girolami, Cristina; Fabbri, Giorgio; Russo, Francesco - In: Metrika 77 (2014) 1, pp. 51-104

:xlink="http://www.w3.org/1999/xlink"> <mi>B</mi> </math> </EquationSource> </InlineEquation> and a corresponding quadratic variation. The … regularization in Banach spaces. Two main applications are mentioned: one related to Clark–Ocone formula for finite quadratic … variation processes; the second one concerns the probabilistic representation of a Hilbert valued partial differential equation …

Persistent link: https://www.econbiz.de/10010995118

Parameter identification for fractional Ornstein-Uhlenbeck processes based on discrete observation

Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic modelling 36 (2014), pp. 198-203

Persistent link: https://www.econbiz.de/10010412366

On the estimation of integrated volatility with jumps and microstructure noise

Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467

Persistent link: https://www.econbiz.de/10010488463

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment

Large, Jeremy - Department of Economics, Oxford University - 2007

cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures …

Persistent link: https://www.econbiz.de/10004977856