Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22681
Authors: 
Christensen, Kim
Podolskij, Mark
Year of Publication: 
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

Files in This Item:
File
Size
1.11 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.