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https://hdl.handle.net/10419/22681
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Christensen, Kim | en |
dc.contributor.author | Podolskij, Mark | en |
dc.date.accessioned | 2009-01-29T15:05:45Z | - |
dc.date.available | 2009-01-29T15:05:45Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmund | en |
dc.relation.ispartofseries | |aTechnical Report |x2006,37 | en |
dc.subject.jel | C10 | en |
dc.subject.jel | C80 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | Bipower Variation | en |
dc.subject.keyword | Finite-Activity Counting Processes | en |
dc.subject.keyword | Jump Detection | en |
dc.subject.keyword | Quadratic Variation | en |
dc.subject.keyword | Range-Based Bipower Variation | en |
dc.subject.keyword | Semimartingale Theory | en |
dc.title | Range-Based Estimation of Quadratic Variation | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 519735293 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb475:200637 | en |
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