Advanced Search
MyIDEAS: Login to save this paper or follow this series

Inference for the jump part of quadratic variation of Itô semimartingales

Contents:

Author Info

  • Almut Veraart

    ()
    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

Abstract

Recent research has focused on modelling asset prices by Itô semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realised variance and realised multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://ftp.econ.au.dk/creates/rp/08/rp08_17.pdf
Download Restriction: no

Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2008-17.

as in new window
Length: 37
Date of creation: 31 Mar 2008
Date of revision:
Handle: RePEc:aah:create:2008-17

Contact details of provider:
Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Quadratic variation; Itô semimartingale; stochastic volatility; jumps; realised variance; realised multipower variation; high–frequency data;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe21, Oxford Financial Research Centre.
  2. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre 2005fe09, Oxford Financial Research Centre.
  3. Xin Huang & George Tauchen, 2005. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 456-499.
  4. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 61(1), pages 43-76, July.
  5. Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-04, School of Economics and Management, University of Aarhus.
  6. Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers, Toulouse - GREMAQ 96.406, Toulouse - GREMAQ.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers, Economics Group, Nuffield College, University of Oxford 2012-W02, Economics Group, Nuffield College, University of Oxford.
  2. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-25, School of Economics and Management, University of Aarhus.
  3. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, Springer, vol. 8(2), pages 205-233, May.
  4. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, Elsevier, vol. 169(1), pages 75-93.
  5. Almut Veraart, 2011. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," AStA Advances in Statistical Analysis, Springer, Springer, vol. 95(3), pages 253-291, September.
  6. Chevallier, Julien & Ielpo, Florian & Sévi, Benoît, 2011. "Do jumps help in forecasting the density of returns?," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6805, Paris Dauphine University.
  7. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1563-1575.
  8. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-57, School of Economics and Management, University of Aarhus.
  9. Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012. "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa 2012-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  10. Dungey, Mardi & Hvozdyk, Lyudmyla, 2010. "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers, University of Tasmania, School of Economics and Finance 10450, University of Tasmania, School of Economics and Finance, revised 14 Jul 2010.
  11. Markus Bibinger & Mathias Vetter, 2013. "Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2013-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-21, School of Economics and Management, University of Aarhus.
  13. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers, University of Tasmania, School of Economics and Finance 2013-02, University of Tasmania, School of Economics and Finance, revised 28 Mar 2013.
  14. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Ambit processes and stochastic partial differential equations," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-17, School of Economics and Management, University of Aarhus.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aah:create:2008-17. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.