Inference for the jump part of quadratic variation of Itô semimartingales

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Inference for the jump part of quadratic variation of Itô semimartingales. / Veraart, Almut.
In: Econometric Theory, Vol. 26, No. 2, 2010, p. 331-368.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Bibtex

@article{dc0150a0c4d711dea30a000ea68e967b,

title = "Inference for the jump part of quadratic variation of It{\^o} semimartingales",

abstract = "Recent research has focused on modeling asset prices by It{\^o} semimartingales. In such a modeling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realized variance and realized multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realized variance and realized multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory that is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.",

author = "Almut Veraart",

year = "2010",

doi = "10.1017/S0266466609100014",

language = "English",

volume = "26",

pages = "331--368",

journal = "Econometric Theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

number = "2",

}

RIS

TY - JOUR

T1 - Inference for the jump part of quadratic variation of Itô semimartingales

AU - Veraart, Almut

PY - 2010

Y1 - 2010

N2 - Recent research has focused on modeling asset prices by Itô semimartingales. In such a modeling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realized variance and realized multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realized variance and realized multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory that is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.

AB - Recent research has focused on modeling asset prices by Itô semimartingales. In such a modeling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realized variance and realized multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realized variance and realized multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory that is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.

U2 - 10.1017/S0266466609100014

DO - 10.1017/S0266466609100014

M3 - Journal article

VL - 26

SP - 331

EP - 368

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 2

ER -

Department of Economics and Business Economics