Authors: | Christensen, Kim Podolskij, Mark |
Title: | Range-based estimation of quadratic variation |
Language (ISO): | en |
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 Jump detection Jump-diffusion process Quadratic variation Range-based bipower variation Semimartingale theory |
URI: | http://hdl.handle.net/2003/23072 http://dx.doi.org/10.17877/DE290R-15405 |
Issue Date: | 2006-11-10T07:44:21Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr37-06.pdf | DNB | 1.11 MB | Adobe PDF | View/Open |
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