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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local...

Persistent link: https://www.econbiz.de/10008462024

Nonparametric Detection and Estimation of Structural Change

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models …. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and …

Persistent link: https://www.econbiz.de/10009003125

Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are developed given a preliminary … the nonparametric estimators are established. We develop mis- specification tests of parametric diffusion models based on … the nonparametric estimators, and derive the asymptotic properties of the tests. We also propose a Markov Bootstrap method …

Persistent link: https://www.econbiz.de/10005787561

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In … particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot … volatility. The choice of bandwidth is discussed and data- driven selection methods proposed. A simulation study examines the …

Persistent link: https://www.econbiz.de/10005198857

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Kanaya, Shin; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …

Persistent link: https://www.econbiz.de/10008677955

Inference for the jump part of quadratic variation of Itô semimartingales

Veraart, Almut - School of Economics and Management, University of Aarhus - 2008

Recent research has focused on modelling asset prices by Itô semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference...

Persistent link: https://www.econbiz.de/10005440041

Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Jacod, Jean; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

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

Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances

Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2008

This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Lévy–driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated...

Persistent link: https://www.econbiz.de/10005440052

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

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

Tails, Fears and Risk Premia

Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in the S&P 500 market index. The probability of rare events vary significantly over time, increasing in periods of high market volatility, but the risk premium for tail events...

Persistent link: https://www.econbiz.de/10004980201