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dc.contributor.authorChristensen, Kimen_US
dc.contributor.authorPodolskij, Marken_US
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_US
dc.relation.ispartofseriesTechnical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,37en_US
dc.subject.keywordBipower Variationen_US
dc.subject.keywordFinite-Activity Counting Processesen_US
dc.subject.keywordJump Detectionen_US
dc.subject.keywordQuadratic Variationen_US
dc.subject.keywordRange-Based Bipower Variationen_US
dc.subject.keywordSemimartingale Theoryen_US
dc.titleRange-Based Estimation of Quadratic Variationen_US
dc.typeWorking Paperen_US
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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