Department of Economics and Business Economics

Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances

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Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances. / Veraart, Almut.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

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@techreport{0d84aff0af3511dd889c000ea68e967b,
title = "Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances",
abstract = "This paper studies the effect of time-inhomogeneous jumps and leverage type effects on realisedvariance calculations when the logarithmic asset price is given by a L{\'e}vy-driven stochasticvolatility model. In such a model, the realised variance is an inconsistent estimator of the integratedvariance. Nevertheless it can be used within a quasi-maximumlikelihood setup to drawinference on the model parameters. In order to do that, this paper introduces a new methodologyfor deriving all cumulants of the returns and realised variance in explicit form by solving a recursivesystem of inhomogeneous ordinary differential equations.",
keywords = "L{\'e}vy processes, stochastic volatility, leverage effect, superposition, realised variance",
author = "Almut Veraart",
year = "2008",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances

AU - Veraart, Almut

PY - 2008

Y1 - 2008

N2 - This paper studies the effect of time-inhomogeneous jumps and leverage type effects on realisedvariance calculations when the logarithmic asset price is given by a Lévy-driven stochasticvolatility model. In such a model, the realised variance is an inconsistent estimator of the integratedvariance. Nevertheless it can be used within a quasi-maximumlikelihood setup to drawinference on the model parameters. In order to do that, this paper introduces a new methodologyfor deriving all cumulants of the returns and realised variance in explicit form by solving a recursivesystem of inhomogeneous ordinary differential equations.

AB - This paper studies the effect of time-inhomogeneous jumps and leverage type effects on realisedvariance calculations when the logarithmic asset price is given by a Lévy-driven stochasticvolatility model. In such a model, the realised variance is an inconsistent estimator of the integratedvariance. Nevertheless it can be used within a quasi-maximumlikelihood setup to drawinference on the model parameters. In order to do that, this paper introduces a new methodologyfor deriving all cumulants of the returns and realised variance in explicit form by solving a recursivesystem of inhomogeneous ordinary differential equations.

KW - Lévy processes, stochastic volatility, leverage effect, superposition, realised variance

M3 - Working paper

BT - Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -