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dc.contributor.authorChristensen, Kimen
dc.contributor.authorPodolskij, Marken
dc.date.accessioned2009-01-29T15:05:45Z-
dc.date.available2009-01-29T15:05:45Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/22681-
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
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2006,37en
dc.subject.jelC10en
dc.subject.jelC80en
dc.subject.jelC22en
dc.subject.ddc519en
dc.subject.keywordBipower Variationen
dc.subject.keywordFinite-Activity Counting Processesen
dc.subject.keywordJump Detectionen
dc.subject.keywordQuadratic Variationen
dc.subject.keywordRange-Based Bipower Variationen
dc.subject.keywordSemimartingale Theoryen
dc.titleRange-Based Estimation of Quadratic Variation-
dc.typeWorking Paperen
dc.identifier.ppn519735293en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200637en

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