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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Technical Report No. 2006,37
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
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.
Schlagwörter: 
Bipower Variation
Finite-Activity Counting Processes
Jump Detection
Quadratic Variation
Range-Based Bipower Variation
Semimartingale Theory
JEL: 
C10
C80
C22
Dokumentart: 
Working Paper

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