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Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil - 2002
This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...
Persistent link: https://www.econbiz.de/10009441446
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Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E.; Shephard, Neil - 2004
This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...
Persistent link: https://www.econbiz.de/10009441547
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Financial Market Volatility and Jumps
Huang, Xin - 2007
This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...
Persistent link: https://www.econbiz.de/10009475503
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Essays in econometrics and time-series analysis
Lee, Tae Suk (1976; Ploberger, Werner; Yildiz, Nese
Thesis (Ph. D.)--University of Rochester. Dept. of Economics, 2010.
Persistent link: https://www.econbiz.de/10009482965
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.; Shephard, Neil - 2006
In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We...
Persistent link: https://www.econbiz.de/10009441541
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Some Identification Issues in Nonparametric Linear Models with Endogenous Regressors
Severini, Thomas A.; Tripathi, Gautam - 2005
, such as a regression function, and treating it as a conditional expectation is central to its identification and estimation … identification related properties of this model when the unknown function mu* belongs to a linear space. We also investigate … underidentification of mu* along with the identification of its linear functionals. Several examples are provided in order to develop …
Persistent link: https://www.econbiz.de/10009430113
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UNCERTAINTY, IDENTIFICATION, AND PRIVACY: EXPERIMENTS IN INDIVIDUAL DECISION-MAKING
Rivenbark, David - 2011
The alleged privacy paradox states that individuals report high values for personal privacy, while at the same time they report behavior that contradicts a high privacy value. This is a misconception. Reported privacy behaviors are explained by asymmetric subjective beliefs. Beliefs may or may...
Persistent link: https://www.econbiz.de/10009431062
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Factors influencing the identification of it indirect costs: A case study
Ghoneim, A - 2008
resource company and confirms the call for a more robust identification process. Inaddition the paper maps each indirect costs … factor to the lifecycle stage(s) in which it occurs andpresents the factors that influence the quality of the identification …
Persistent link: https://www.econbiz.de/10009465383
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Network effects, compatibility, and adoption of standards
Grajek, Michał - 2005
best of our knowledge, this is the first model that facilitates the identification in the case of direct network effects …
Persistent link: https://www.econbiz.de/10009467122
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Matching DSGE models to data with applications to fiscal and robust monetary policy
Kriwoluzky, Alexander - 2009
the major issue a researcher has to deal with when working with a VAR model and a DSGE model: the identification of the …
Persistent link: https://www.econbiz.de/10009467257