Showing 1 - 10 of 112
Persistent link: https://www.econbiz.de/10001772148
Persistent link: https://www.econbiz.de/10001546141
Persistent link: https://www.econbiz.de/10009553957
Persistent link: https://www.econbiz.de/10001437376
Persistent link: https://www.econbiz.de/10001336798
Persistent link: https://www.econbiz.de/10001755397
We define a new concept termed the activity signature function, which is constructed from discrete observations of a process evolving continuously in time. Under quite general regularity conditions, we derive the asymptotic properties of the function as the sampling frequency increases and show...
Persistent link: https://www.econbiz.de/10014216165
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...
Persistent link: https://www.econbiz.de/10014217079
We introduce and derive the asymptotic behavior of a new measure constructed from high-frequency data which we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform function of the latent stochastic volatility...
Persistent link: https://www.econbiz.de/10013132846
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Persistent link: https://www.econbiz.de/10013137409