No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications

DOI10.1016/J.JECONOM.2006.05.018zbMATH Open1418.62371OpenAlexW2891484854MaRDI QIDQ277161FDOQ277161

Authors: Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev 

Publication date: 4 May 2016

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

Full work available at URL: http://www.nber.org/papers/w12963.pdf

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zbMATH Keywords

normality testsrealized volatilityhigh-frequency datafinancial time samplingjump detection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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Cited In (45)

• Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
• Optimally thresholded realized power variations for Lévy jump diffusion models
• Cojumps and asset allocation in international equity markets
• High-frequency jump tests: which test should we use?
• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
• The drift burst hypothesis
• Forecast the realized range-based volatility: the role of investor sentiment and regime switching
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise
• A reexamination of stock return predictability
• Forecasting and trading high frequency volatility on large indices
• Testing for mutually exciting jumps and financial flights in high frequency data
• Jumps and oil futures volatility forecasting: a new insight
• An improved test for continuous local martingales
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Testing for continuous local martingales using the crossing tree
• Estimating stochastic volatility models using realized measures
• Second-order properties of thresholded realized power variations of FJA additive processes
• Jumps in equilibrium prices and market microstructure noise
• Jump-robust volatility estimation using nearest neighbor truncation
• High-frequency returns, jumps and the mixture of normals hypothesis
• Realized Quantiles^*
• Jumps or Staleness?
• Generalized Autoregressive Positive-valued Processes
• The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Modelling systemic price cojumps with Hawkes factor models
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
• A robust neighborhood truncation approach to estimation of integrated quarticity
• The contribution of intraday jumps to forecasting the density of returns
• Collective synchronization and high frequency systemic instabilities in financial markets
• A nonparametric test of a strong leverage hypothesis
• Inference for local distributions at high sampling frequencies: a bootstrap approach
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• UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
• A martingale approach for testing diffusion models based on infinitesimal operator
• Jump tails, extreme dependencies, and the distribution of stock returns
• PELVE: probability equivalent level of VaR and ES
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• Large deviations of realized volatility
• Threshold bipower variation and the impact of jumps on volatility forecasting
• International market links and volatility transmission
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach

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