Range-based estimation of quadratic variation
| dc.contributor.author | Christensen, Kim | |
| dc.contributor.author | Podolskij, Mark | |
| dc.date.accessioned | 2006-11-10T07:44:21Z | |
| dc.date.available | 2006-11-10T07:44:21Z | |
| dc.date.issued | 2006-11-10T07:44:21Z | |
| dc.description.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. | en |
| dc.format.extent | 1140351 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.other | JEL Classification: C10; C22; C80. | |
| dc.identifier.uri | http://hdl.handle.net/2003/23072 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15405 | |
| dc.language.iso | en | |
| dc.subject | Bipower variation | en |
| dc.subject | Finite-activity counting processes | en |
| dc.subject | Jump detection | en |
| dc.subject | Jump-diffusion process | en |
| dc.subject | Quadratic variation | en |
| dc.subject | Range-based bipower variation | en |
| dc.subject | Semimartingale theory | en |
| dc.subject.ddc | 004 | |
| dc.title | Range-based estimation of quadratic variation | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |