Search Results - subject:"jumps in volatility"

Chasing Volatility. A Persistent Multiplicative Error Model With Jumps

Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the...

Persistent link: https://www.econbiz.de/10011123413

Chasing volatility - A persistent multiplicative error model with jumps

Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - School of Economics and Management, University of Aarhus - 2014

Persistent link: https://www.econbiz.de/10010892069

Conditional jumps in volatility and their economic determinants

Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they … estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of … a positive probability of jumps in volatility, conditional on the past information set. We then focus on the …

Persistent link: https://www.econbiz.de/10009323210

Nonparametric Stochastic Volatility

Bandi, Federico M.; Reno, Roberto - Institute of Economic Research, Hitotsubashi University - 2009

Using recent advances in the nonparametric estimation of continuous-time processes under mild statistical assumptions as well as recent developments on nonparametric volatility estimation by virtue of market microstructure noise-contaminated high-frequency asset price data, we provide (i) a...

Persistent link: https://www.econbiz.de/10005784003