Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy processes. We show that in general realised variance is an inconsistent estimator of the time-change, however we can derive the second-order properties of realis...
| Những tác giả chính: | , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Elsevier
2006
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| _version_ | 1826301854233919488 |
|---|---|
| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy processes. We show that in general realised variance is an inconsistent estimator of the time-change, however we can derive the second-order properties of realised variances and use these to estimate the parameters of such models. Our analytic results give a first indication of the degrees of inconsistency of realised variance as an estimator of the time-change in the non-Brownian case. Further, our results suggest volatility is even more predictable than has been shown by the recent econometric work on realised variance. |
| first_indexed | 2024-03-07T05:38:40Z |
| format | Journal article |
| id | oxford-uuid:e4cec3f9-10bd-480c-a783-5002585db6db |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:38:40Z |
| publishDate | 2006 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:e4cec3f9-10bd-480c-a783-5002585db6db2022-03-27T10:19:17ZImpact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:e4cec3f9-10bd-480c-a783-5002585db6dbEnglishDepartment of Economics - ePrintsElsevier2006Barndorff-Nielsen, OShephard, NIn order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy processes. We show that in general realised variance is an inconsistent estimator of the time-change, however we can derive the second-order properties of realised variances and use these to estimate the parameters of such models. Our analytic results give a first indication of the degrees of inconsistency of realised variance as an estimator of the time-change in the non-Brownian case. Further, our results suggest volatility is even more predictable than has been shown by the recent econometric work on realised variance. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title | Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title_full | Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title_fullStr | Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title_full_unstemmed | Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title_short | Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes. |
| title_sort | impact of jumps on returns and realised variances econometric analysis of time deformed levy processes |
| work_keys_str_mv | AT barndorffnielseno impactofjumpsonreturnsandrealisedvarianceseconometricanalysisoftimedeformedlevyprocesses AT shephardn impactofjumpsonreturnsandrealisedvarianceseconometricanalysisoftimedeformedlevyprocesses |