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Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011379469

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

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

Testing the maximal rank of the volatility process for continuous diffusions observed with noise

Fissler, Tobias; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2014

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

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

Persistent link: https://www.econbiz.de/10010384595

Functional stable limit theorems for efficient spectral covolatility estimators

Altmeyer, Randolf; Bibinger, Markus - 2014

We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...

Persistent link: https://www.econbiz.de/10010230564

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10010325674

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Institute - 2009

Persistent link: https://www.econbiz.de/10008513245

Pricing Nikkei 225 Options Using Realized Volatility

Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2013

This article examines option pricing performance using realized volatilities with or without handling microstructure noise, non-trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models. Main results using put options on the Nikkei 225 index...

Persistent link: https://www.econbiz.de/10010614080

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009

-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011255584