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dc.contributor.authorDuong, Diepen_US
dc.contributor.authorSwanson, Normanen_US
dc.description.abstractThe topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In particular, in the first sections of this paper, we discuss important developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility estimation. The models discussed share the common feature that volatilities are unobserved, and belong to the class of missing variables. We then provide empirical evidence on small and large jumps from the perspective of their contribution to overall realized variation, using high frequency price return data on 25 stocks in the DOW 30. Our small and large jump variations are constructed at three truncation levels, using extant methodology of Barndorff-Nielsen and Shephard (2006), Andersen, Bollerslev and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days during the 1993-2000 period, much higher than the corresponding figure of 9.4% during the 2001-2008 period. While the overall role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a proportion of overall jumps has actually increased in the 2000s.en_US
dc.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking Papers, Department of Economics, Rutgers, the State University of New Jersey |x2011,17en_US
dc.subject.keywordItô semi-martingaleen_US
dc.subject.keywordrealized volatilityen_US
dc.subject.keywordquadratic volatilityen_US
dc.subject.keywordmultipower variationen_US
dc.subject.keywordtripower variationen_US
dc.subject.keywordtruncated power variationen_US
dc.subject.keywordinfinite activity jumpsen_US
dc.titleVolatility in discrete and continuous time models: A survey with new evidence on large and small jumpsen_US
dc.typeWorking Paperen_US

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