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Title:Range-Based Estimation of Quadratic Variation PDF Logo
Authors:Christensen, Kim
Podolskij, Mark
Issue Date:2006
Series/Report no.:Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,37
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.
Subjects:Bipower Variation
Finite-Activity Counting Processes
Jump Detection
Quadratic Variation
Range-Based Bipower Variation
Semimartingale Theory
JEL:C10
C80
C22
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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