Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.

Εμφάνιση άλλων εκδόσεων (2)

In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We also ap...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Barndorff-Nielsen, O, Shephard, N
Μορφή:	Journal article
Γλώσσα:	English
Έκδοση:	2006

Παρόμοια τεκμήρια

Econometrics of testing for jumps in financial economics using bipower variation.
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Έκδοση: (2003)

Econometrics of testing for jumps in financial economics using bipower variation
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Έκδοση: (2005)

Limit theorems for bipower variations in financial econometrics
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Limit Theorems for Bipower Variation in Financial Econometrics.
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Limit theorems for bipower variations in financial econometrics.
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Έκδοση: (2006)

Limit theorems for bipower variations in financial econometrics.
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Έκδοση: (2005)

Power and bipower variation with stochastic volatility and jumps.
ανά: Barndorff-Nielsen, O, κ.ά.
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Power and Bipower Variation with Stochastic Volatility and Jumps.
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Έκδοση: (2004)

Power and bipower variation with stochastic volatility and jumps
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Variation, jumps, market frictions and high frequency data in financial econometrics.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Variation, jumps, market frictions and high frequency data in financial econometrics
ανά: Shephard, N, κ.ά.
Έκδοση: (2005)

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
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Έκδοση: (2004)

Modelling by Levy Processes for Financial Econometrics.
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Έκδοση: (2001)

Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2003)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
ανά: Barndorff-Nielsen, O, κ.ά.
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
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Έκδοση: (2004)

Discrete-valued Levy processes and low latency financial econometrics.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2010)

Discrete-valued Levy processes and low latency financial econometrics
ανά: Shephard, N, κ.ά.
Έκδοση: (2010)

Limit theorems for multipower variation in the presence of jumps
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Limit theorems for multipower variation in the presence of jumps.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Limit theorems for multipower variation in the presence of jumps
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Limit theorems for multipower variation in the presence of jumps.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Limit theorems for multipower variation in the presence of jumps
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
ανά: Shephard, N, κ.ά.
Έκδοση: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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Έκδοση: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
ανά: Shephard, N, κ.ά.
Έκδοση: (2001)

Estimating quadratic variation using realised volatility.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Estimating quadratic variation using realized variance
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2002)

Estimating Quadratic Variation Using Realized Variance.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2002)

Estimating Quadratic Variation Using Realized Variance.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models [Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics (with Discussion)].
ανά: Nielsen, O, κ.ά.
Έκδοση: (2005)

Power variation and time change
ανά: Shephard, N, κ.ά.
Έκδοση: (2006)

Power variation and time change
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Multipower Variation and Stochastic Volatility.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2004)

Power Variation and Time Change.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2002)

Realised power variation and stochastic volatility models
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2003)