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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22681
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Christensen, Kim | | en_US |
| dc.contributor.author | | Podolskij, Mark | | en_US |
| dc.date.accessioned | | 2009-01-29T15:05:45Z | | - |
| dc.date.available | | 2009-01-29T15:05:45Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22681 | | - |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,37 | | en_US |
| dc.subject.jel | | C10 | | en_US |
| dc.subject.jel | | C80 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Bipower Variation | | en_US |
| dc.subject.keyword | | Finite-Activity Counting Processes | | en_US |
| dc.subject.keyword | | Jump Detection | | en_US |
| dc.subject.keyword | | Quadratic Variation | | en_US |
| dc.subject.keyword | | Range-Based Bipower Variation | | en_US |
| dc.subject.keyword | | Semimartingale Theory | | en_US |
| dc.title | | Range-Based Estimation of Quadratic Variation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 519735293 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb475:200637 | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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