|Title:||Range-based estimation of quadratic variation|
|Abstract:||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.|
|Subject Headings:||Bipower variation|
Finite-activity counting processes
Range-based bipower variation
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
This item is protected by original copyright
All resources in the repository are protected by copyright.