Search Results - subject:"Quadratic Variation"

Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

Martin, Gael M.; Reidy, Andrew; Wright, Jill - Department of Econometrics and Business Statistics, … - 2006

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based...

Persistent link: https://www.econbiz.de/10005125283

Range-Based Estimation of Quadratic Variation

Christensen, Kim; Podolskij, Mark - Institut für Wirtschafts- und Sozialstatistik, … - 2006

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump …

Persistent link: https://www.econbiz.de/10009216881

Asymptotic and exact pricing of options on variance

Keller-Ressel, Martin; Muhle-Karbe, Johannes - In: Finance and Stochastics 17 (2013) 1, pp. 107-133

. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of … is based on correcting prices of options on quadratic variation by our asymptotic results. The other method is exact; it …

Persistent link: https://www.econbiz.de/10010847051

Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion

Azmoodeh, Ehsan; Valkeila, Esko - In: Statistical Inference for Stochastic Processes 16 (2013) 2, pp. 97-112

the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same …="CR2">2008</CitationRef>), where it is shown that the quadratic variation of the log-returns determines the hedging …

Persistent link: https://www.econbiz.de/10010992888

Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies

Tse, S. T.; Forsyth, Peter; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449

Persistent link: https://www.econbiz.de/10010235600

Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale

Christensen, Kim; Podolski, Mark - 2005

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...

Persistent link: https://www.econbiz.de/10010296680

Variation, jumps, market frictions and high frequency data in financial econometrics

Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2005

We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data...

Persistent link: https://www.econbiz.de/10005047794

Limit theorems for multipower variation in the presence of jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias - Economics Group, Nuffield College, University of Oxford - 2005

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Persistent link: https://www.econbiz.de/10005687557

Limit theorems for bipower variation in financial econometrics

Barndorff-Nielsen, Ole E.; Graversen, Sven Erik; Jacod, Jean - Economics Group, Nuffield College, University of Oxford - 2005

financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have …

Persistent link: https://www.econbiz.de/10005730377

Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale

Christensen, Kim; Podolski, Mark - Institut für Wirtschafts- und Sozialstatistik, … - 2005

Persistent link: https://www.econbiz.de/10009216929