Showing 1 - 10 of 30
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10008490350
We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...
Persistent link: https://www.econbiz.de/10005440034
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which are observed at high frequency. Our method generalizes the pre-averaging approach (see [13],[11]) and provides consistent estimates for various characteristics of general...
Persistent link: https://www.econbiz.de/10005440042
We consider a new class of estimators for volatility functionals in the setting of frequently observed Itô diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of...
Persistent link: https://www.econbiz.de/10005440053
This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis...
Persistent link: https://www.econbiz.de/10005440072
Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for...
Persistent link: https://www.econbiz.de/10005440078
In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider N-dimensional Itô integrals with time varying matrix-valued integrands. We observe n equidistant high frequency data points...
Persistent link: https://www.econbiz.de/10011098644
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...
Persistent link: https://www.econbiz.de/10011098645
In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a exible model for dynamical structures in time and/or in space. We...
Persistent link: https://www.econbiz.de/10011098646
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructure noise at ultra high frequencies. Using high...
Persistent link: https://www.econbiz.de/10011098647