How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940): Difference between revisions

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scientific article

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English	How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?	scientific article

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instance of

scholarly article

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title

How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (English)

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author

Almut E. D. Veraart

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published in

AStA. Advances in Statistical Analysis

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publication date

25 August 2011

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full work available at URL

https://pure.au.dk/ws/files/22014864/rp10_65.pdf

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zbMATH Keywords

realised variance

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realised multipower variation

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truncated realised variance

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inference

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stochastic volatility

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jumps

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MaRDI profile type

MaRDI publication profile

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cites work

Testing for jumps in a discretely observed process

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Is Brownian motion necessary to model high-frequency data?

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The Distribution of Realized Exchange Rate Volatility

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

0 references

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

0 references

Q5447122

0 references

Limit theorems for multipower variation in the presence of jumps

0 references

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

0 references

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

0 references

Q3276933

0 references

Nonparametric tests for pathwise properties of semimartingales

0 references

Threshold bipower variation and the impact of jumps on volatility forecasting

0 references

Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing

0 references

Continuous Record Asymptotics for Rolling Sample Variance Estimators

0 references

The Euler scheme for Lévy driven stochastic differential equations: limit theorems.

0 references

Asymptotic properties of realized power variations and related functionals of semimartingales

0 references

Asymptotic error distributions for the Euler method for stochastic differential equations

0 references

Do price and volatility jump together?

0 references

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

0 references

Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

0 references

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

0 references

Conditional Heteroskedasticity in Asset Returns: A New Approach

0 references

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

0 references

Q4435813

0 references

Q5515900

0 references

Limit theorems for power variations of pure-jump processes with application to activity estima\-tion

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INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES

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How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

0 references

Stochastic volatility and stochastic leverage

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Limit theorems for bipower variation of semimartingales

0 references

Q3511651

0 references

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

0 references

A Tale of Two Time Scales

0 references

Identifiers

zbMATH Open document ID

1274.62697

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Mathematics Subject Classification ID

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10.1007/S10182-011-0158-1

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Sitelinks

Mathematics(1 entry)

mardi Publication:635940

@@ Property / DOI @@
-.1007/s10182-011-0158-1
@@ Property / DOI: 10.1007/s10182-011-0158-1 / rank @@
-Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Q5447122
@@ Property / cites work: Q5447122 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for multipower variation in the presence of jumps
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Q3276933
@@ Property / cites work: Q3276933 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
+Normal rank
@@ Property / cites work @@
+Continuous Record Asymptotics for Rolling Sample Variance Estimators
+Normal rank
@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Do price and volatility jump together?
@@ Property / cites work: Do price and volatility jump together? / rank @@
+Normal rank
@@ Property / cites work @@
+NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5515900
@@ Property / cites work: Q5515900 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
+Normal rank
@@ Property / cites work @@
+INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
+Normal rank
@@ Property / cites work @@
+How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
+Normal rank
@@ Property / cites work @@
+Stochastic volatility and stochastic leverage
@@ Property / cites work: Stochastic volatility and stochastic leverage / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for bipower variation of semimartingales
+Normal rank
@@ Property / cites work @@
+Q3511651
@@ Property / cites work: Q3511651 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S10182-011-0158-1
@@ Property / DOI: 10.1007/S10182-011-0158-1 / rank @@
+Normal rank