Showing 1 - 8 of 8
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous components using estimators which are not...
Persistent link: https://www.econbiz.de/10008866495
Vast empirical evidence points to the existence of a negative correlation, named ”leverage effect”, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in...
Persistent link: https://www.econbiz.de/10011052275
Persistent link: https://www.econbiz.de/10005052879
Persistent link: https://www.econbiz.de/10005122900
Excess market returns are correlated with past market variance. This dependence is statistically mild at short horizons (thereby leading to a hard-to-detect risk-return trade-off, as in the existing literature) but increases with the horizon and is strong in the long run (i.e., between 6 and 10...
Persistent link: https://www.econbiz.de/10005228767
A growing literature advocates the use of microstructure noise-contaminated high-frequency data for the purpose of volatility estimation. This paper evaluates and compares the quality of several recently-proposed estimators in the context of a relevant economic metric, i.e., profits from...
Persistent link: https://www.econbiz.de/10005238945
A growing literature has been advocating consistent kernel estimation of integrated variance in the presence of financial market microstructure noise. We find that, for realistic sample sizes encountered in practice, the asymptotic results derived for the proposed estimators may provide...
Persistent link: https://www.econbiz.de/10008866462
We reconstruct the level-dependent diffusion coefficient of a univariate semimartingale with jumps which is observed discretely. The consistency and asymptotic normality of our estimator are provided in the presence of both finite and infinite activity (finite variation) jumps. Our results rely...
Persistent link: https://www.econbiz.de/10008866531