• Medientyp: Bericht; E-Book
  • Titel: Range-Based Estimation of Quadratic Variation
  • Beteiligte: Christensen, Kim [Verfasser:in]; Podolskij, Mark [Verfasser:in]
  • Erschienen: Dortmund: Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, 2006
  • Sprache: Englisch
  • Schlagwörter: C80 ; C10 ; Range-Based Bipower Variation ; Jump Detection ; C22 ; Finite-Activity Counting Processes ; Quadratic Variation ; Semimartingale Theory ; Bipower Variation
  • Entstehung:
  • Anmerkungen: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • 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