Showing 1 - 10 of 11
Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects.  In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...
Persistent link: https://www.econbiz.de/10011004207
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...
Persistent link: https://www.econbiz.de/10009650770
This paper looks at some recent work on estimating quadratic variation using realised 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/10010604813
In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of...
Persistent link: https://www.econbiz.de/10010604906
Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...
Persistent link: https://www.econbiz.de/10010604913
This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps. We show realised bipower variation estimates integrated variance in SV models --- thus providing a model free and consistent alternative to...
Persistent link: https://www.econbiz.de/10010605142
We use high frequency financial data to proxy, via the realised variance, each days financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...
Persistent link: https://www.econbiz.de/10010605279
Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.
Persistent link: https://www.econbiz.de/10010661336
In this paper we provide an asymptotic distribution theory for some non-parametric 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 behaviour. We...
Persistent link: https://www.econbiz.de/10010661350
In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...
Persistent link: https://www.econbiz.de/10010661378