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
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
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| Schriftenreihe: | Working paper series / National Bureau of Economic Research
12963 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage effects. A novel robust-to-jumps approach is utilized to alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through Monte Carlo methods. Our empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption. |
| Beschreibung: | 32, [30] S. graph. Darst. 22 cm |
Internformat
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| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:13Z |
| institution | BVB |
| language | English |
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| physical | 32, [30] S. graph. Darst. 22 cm |
| publishDate | 2007 |
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| publisher | National Bureau of Economic Research |
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| spelling | Andersen, Torben Verfasser (DE-588)128603259 aut 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 Torben G. Andersen ; Tim Bollerslev ; Dobrislav Dobrev Cambridge, Mass. National Bureau of Economic Research 2007 32, [30] S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12963 We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage effects. A novel robust-to-jumps approach is utilized to alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through Monte Carlo methods. Our empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption. Bollerslev, Tim 1958- Verfasser (DE-588)128603593 aut Dobrev, Dobrislav Verfasser (DE-588)133187160 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12963 (DE-604)BV002801238 12963 http://papers.nber.org/papers/w12963.pdf kostenfrei Volltext |
| spellingShingle | Andersen, Torben Bollerslev, Tim 1958- Dobrev, Dobrislav 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 |
| title | 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 |
| title_auth | 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 |
| title_exact_search | 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 |
| title_exact_search_txtP | 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 |
| title_full | 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 Torben G. Andersen ; Tim Bollerslev ; Dobrislav Dobrev |
| title_fullStr | 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 Torben G. Andersen ; Tim Bollerslev ; Dobrislav Dobrev |
| title_full_unstemmed | 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 Torben G. Andersen ; Tim Bollerslev ; Dobrislav Dobrev |
| title_short | No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise |
| title_sort | 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 |
| title_sub | theory and testable distributional implications |
| url | http://papers.nber.org/papers/w12963.pdf |
| volume_link | (DE-604)BV002801238 |
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