Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes

DOI10.1016/j.jeconom.2005.01.009zbMath1337.62342OpenAlexW2117306570MaRDI QIDQ292014

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2003/w12/qml_small.pdf

zbMATH Keywords

stochastic volatilityKalman filterLévy processquasi-likelihoodlong-memorytime-changerealised variance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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Estimation of continuous-time stochastic volatility models with jumps using high-frequency data, CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY, Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models, High resolution simulation of nonstationary Gaussian random fields, Infinite divisibility for stochastic processes and time change, A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns, Stochastic volatility with leverage: fast and efficient likelihood inference, Multipower variation for Brownian semistationary processes, Stochastic volatility and stochastic leverage, INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES, Sequential Monte Carlo methods for stochastic volatility models: a review, Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures, Pricing of the time-change risks, Volatility estimators for discretely sampled Lévy processes, Econometric analysis of jump-driven stochastic volatility models, Bipower Variation for Gaussian Processes with Stationary Increments, Power variation for Gaussian processes with stationary increments, Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models, LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS, Integer-valued Lévy processes and low latency financial econometrics

Uses Software

• SsfPack

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