• Medientyp: Sonstige Veröffentlichung; Bericht; E-Book
  • Titel: Range-based estimation of quadratic variation
  • Beteiligte: Christensen, Kim [Verfasser:in]; Podolskij, Mark [Verfasser:in]
  • Erschienen: Eldorado - Repositorium der TU Dortmund, 2006-11-10
  • Sprache: Englisch
  • DOI: https://doi.org/10.17877/DE290R-15405
  • Schlagwörter: Quadratic variation ; Jump-diffusion process ; Bipower variation ; Finite-activity counting processes ; Semimartingale theory ; Jump detection ; Range-based bipower variation
  • Entstehung:
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  • Beschreibung: This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the test is well-sized and more powerful than a return-based t-statistic for sampling frequencies normally used in empirical work. Applied to equity data, we show that the intensity of the jump process is not as high as previously reported.
  • Zugangsstatus: Freier Zugang
  • Rechte-/Nutzungshinweise: Urheberrechtsschutz