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
Issue Date: 2006-11-10T07:44:21Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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