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A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

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Cited by:

  1. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  2. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  3. Vetter, Mathias & Podolskij, Mark, 2006. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," Technical Reports 2006,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus, 2004. "Multipower Variation and Stochastic Volatility," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.
  5. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series 2008fe25, Oxford Financial Research Centre.
  6. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  7. Podolskij, Mark & Vetter, Mathias, 2009. "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
  8. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
  9. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  10. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  11. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  12. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  13. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
  14. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers 2009-60, Department of Economics and Business Economics, Aarhus University.
  15. Veraart, Almut E.D., 2010. "Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales," Econometric Theory, Cambridge University Press, vol. 26(2), pages 331-368, April.
  16. Nikolaus Hautsch & Mark Podolskij, 2013. "Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 165-183, April.
  17. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.
  18. Duong, Diep & Swanson, Norman R., 2015. "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
  19. Mark Podolskij & Mathias Vetter, 2009. "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers 2009-47, Department of Economics and Business Economics, Aarhus University.
  20. Diep Duong & Norman R. Swanson, 2011. "Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks," Departmental Working Papers 201116, Rutgers University, Department of Economics.
  21. Ysusi Carla, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
  22. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  23. Cecilia Mancini & Fabio Gobbi, 2010. "Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations," Working Papers - Mathematical Economics 2010-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  24. Mark Podolskij & Daniel Ziggel, 2008. "New tests for jumps: a threshold-based approach," CREATES Research Papers 2008-34, Department of Economics and Business Economics, Aarhus University.
  25. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
  26. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  27. Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009. "Power variation for Gaussian processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1845-1865, June.
  28. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April.
  29. Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  30. Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
  31. Holger Dette & Mark Podolskij & Mathias Vetter, 2006. "Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 259-278, June.
  32. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
  33. Dette, Holger & Podolskij, Mark, 2005. "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports 2005,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  34. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
  35. Alexander Alvarez & Fabien Panloup & Monique Pontier & Nicolas Savy, 2012. "Estimation of the instantaneous volatility," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 27-59, April.
  36. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  37. Mark Podolskij & Daniel Ziggel, 2007. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2007-26, Department of Economics and Business Economics, Aarhus University.
  38. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers 2009-21, Department of Economics and Business Economics, Aarhus University.
  39. Mark Podolskij & Mathieu Rosenbaum, 2012. "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, vol. 8(1), pages 31-48, February.
  40. Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics.
  41. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
  42. Bekiros, Stelios & Jlassi, Mouna & Naoui, Kamel & Uddin, Gazi Salah, 2017. "The asymmetric relationship between returns and implied volatility: Evidence from global stock markets," Journal of Financial Stability, Elsevier, vol. 30(C), pages 156-174.
  43. Rasmus Tangsgaard Varneskov, 2011. "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers 2011-31, Department of Economics and Business Economics, Aarhus University.
  44. Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
  45. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, Department of Economics and Business Economics, Aarhus University.
  46. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
  47. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  48. Ysusi Carla, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
  49. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Papers math/0610621, arXiv.org, revised Jul 2008.
  50. Diep Duong & Norman R. Swanson, 2011. "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers 201117, Rutgers University, Department of Economics.
  51. Ysusi Carla, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.
  52. Jean Jacod & Mark Podolskij & Mathias Vetter, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-61, Department of Economics and Business Economics, Aarhus University.
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