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dc.contributor.authorChristensen, Kim-
dc.contributor.authorPodolskij, Mark-
dc.date.accessioned2006-11-10T07:44:21Z-
dc.date.available2006-11-10T07:44:21Z-
dc.date.issued2006-11-10T07:44:21Z-
dc.identifier.otherJEL Classification: C10; C22; C80.-
dc.identifier.urihttp://hdl.handle.net/2003/23072-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15405-
dc.description.abstractThis 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.en
dc.format.extent1140351 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.subjectBipower variationen
dc.subjectFinite-activity counting processesen
dc.subjectJump detectionen
dc.subjectJump-diffusion processen
dc.subjectQuadratic variationen
dc.subjectRange-based bipower variationen
dc.subjectSemimartingale theoryen
dc.subject.ddc004-
dc.titleRange-based estimation of quadratic variationen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

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