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Limit theorems for bipower variation in financial econometrics

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Cited by:

  1. Réveillac, Anthony, 2009. "Estimation of quadratic variation for two-parameter diffusions," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1652-1672, May.
  2. Xavier Brouty & Matthieu Garcin & Hugo Roccaro, 2024. "Estimation of bid-ask spreads in the presence of serial dependence," Papers 2407.17401, arXiv.org, revised Jan 2025.
  3. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Multipower Variation and Stochastic Volatility," Springer Books, in: A. N. Shiryaev & M. R. Grossinho & P. E. Oliveira & M. L. Esquível (ed.), Stochastic Finance, chapter 2, pages 73-82, Springer.
  4. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  5. Fleming, Jeff & Paye, Bradley S., 2011. "High-frequency returns, jumps and the mixture of normals hypothesis," Journal of Econometrics, Elsevier, vol. 160(1), pages 119-128, January.
  6. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  7. Fangfang Wang, 2016. "An Unbiased Measure of Integrated Volatility in the Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 147-164, March.
  8. Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.
  9. 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.
  10. 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.
  11. Phillips, Peter C.B. & Yu, Jun, 2009. "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, vol. 150(2), pages 139-150, June.
  12. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
  13. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  14. Ysusi Carla, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
  15. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  16. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
  17. 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.
  18. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
  19. 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.
  20. Ozcan Ceylan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  21. Peter C. B. Phillips & Jun Yu, 2024. "Information loss in volatility measurement with flat price trading," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 501-543, Springer.
  22. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  23. Liao, Yin & Anderson, Heather M., 2019. "Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 252-274.
  24. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
  25. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.
  26. Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021. "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 46-61.
  27. Vortelinos, Dimitrios I., 2015. "Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets," Review of Financial Economics, Elsevier, vol. 27(C), pages 58-67.
  28. Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2015. "Nonparametric likelihood for volatility under high frequency data," STICERD - Econometrics Paper Series /2015/581, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  29. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
  30. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
  31. Dimitrios I. Vortelinos, 2015. "Out‐of‐sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini‐futures markets," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 58-67, November.
  32. Clément, Emmanuelle & Gloter, Arnaud, 2011. "Limit theorems in the Fourier transform method for the estimation of multivariate volatility," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1097-1124, May.
  33. Bo Yu & Dayong Zhang & Qiang Ji, 2025. "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, vol. 348(1), pages 543-578, May.
  34. Hacène Djellout & Hui Jiang, 2018. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Post-Print hal-01147189, HAL.
  35. 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.
  36. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
  37. Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
  38. Li, Meiyu & Gençay, Ramazan & Xue, Yi, 2016. "Is it Brownian or fractional Brownian motion?," Economics Letters, Elsevier, vol. 145(C), pages 52-55.
  39. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
  40. Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour, 2013. "Bootstrapping realized multivariate volatility measures," Journal of Econometrics, Elsevier, vol. 172(1), pages 49-65.
  41. 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.
  42. Adam D. Bull, 2014. "Near-optimal estimation of jump activity in semimartingales," Papers 1409.8150, arXiv.org, revised Jan 2016.
  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. Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
  45. Ishida, I. & McAleer, M.J. & Oya, K., 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers EI 2011-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  46. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  47. Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012. "Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 354-389, 2012 06.
  48. Kinnebrock, Silja & Podolskij, Mark, 2008. "A note on the central limit theorem for bipower variation of general functions," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 1056-1070, June.
  49. Hacène Djellout & Hui Jiang, 2015. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Working Papers hal-01147189, HAL.
  50. Ulrich Hounyo & Bezirgen Veliyev, 2016. "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  51. He, Xin-Jiang & Lin, Sha, 2023. "Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  52. Iacopo Raffaelli & Simone Scotti & Giacomo Toscano, 2024. "Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data," Annals of Operations Research, Springer, vol. 336(1), pages 27-45, May.
  53. Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
  54. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
  55. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
  56. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large Deviations Of The Realized (Co-)Volatility Vector," Working Papers hal-01082903, HAL.
  57. Xu, De-xuan & Yang, Ben-zhang & Kang, Jian-hao & Huang, Nan-jing, 2021. "Variance and volatility swaps valuations with the stochastic liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  58. Bandi, Federico M. & Renò, Roberto, 2012. "Time-varying leverage effects," Journal of Econometrics, Elsevier, vol. 169(1), pages 94-113.
  59. Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  60. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.
  61. Simone Serafini & Giacomo Bormetti, 2025. "Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data," Papers 2501.17490, arXiv.org, revised May 2025.
  62. Yan, Han & Liu, Bin & Zhu, Xingting & Wu, Yan, 2024. "Systemic risk monitoring model from the perspective of public information arrival," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  63. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
  64. Ysusi Carla, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
  65. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, May.
  66. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
  67. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.
  68. Martin Magris, 2019. "A Vine-copula extension for the HAR model," Papers 1907.08522, arXiv.org.
  69. repec:hal:journl:peer-00741630 is not listed on IDEAS
  70. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
  71. Hwang, Eunju & Shin, Dong Wan, 2013. "Stationary bootstrapping realized volatility," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2045-2051.
  72. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2017. "Large Deviations Of The Realized (Co-)Volatility Vector," Post-Print hal-01082903, HAL.
  73. Ysusi Carla, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.
  74. Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, vol. 161(2), pages 262-283, April.
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