Efficient and feasible inference for the components of financial variation using blocked multipower variation
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We i...
| Päätekijät: | , |
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| Aineistotyyppi: | Working paper |
| Julkaistu: |
University of Oxford
2012
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| _version_ | 1826305741769670656 |
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| author | Shephard, N Sheppard, K |
| author_facet | Shephard, N Sheppard, K |
| author_sort | Shephard, N |
| collection | OXFORD |
| description | High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We improve the scope and efficiency of multipower variation by the use of a more sophisticated exploitation of high frequency data. This suggests very significant improvements in the power of jump tests. It also yields efficiency estimates of the integrated variance of the continuous part of a semimartingale. The paper also shows how to extend the theory to the case where there is microstructure in the observations and derive the first nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new type of result showing path-by-path (strong) approximation between multipower and the (unobserved) RV based on the continuous part of the process. |
| first_indexed | 2024-03-07T06:37:26Z |
| format | Working paper |
| id | oxford-uuid:f822193b-23de-4fe3-b26c-15b3b9f44318 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T06:37:26Z |
| publishDate | 2012 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:f822193b-23de-4fe3-b26c-15b3b9f443182022-03-27T12:48:05ZEfficient and feasible inference for the components of financial variation using blocked multipower variationWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:f822193b-23de-4fe3-b26c-15b3b9f44318Bulk import via SwordSymplectic ElementsUniversity of Oxford2012Shephard, NSheppard, KHigh frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We improve the scope and efficiency of multipower variation by the use of a more sophisticated exploitation of high frequency data. This suggests very significant improvements in the power of jump tests. It also yields efficiency estimates of the integrated variance of the continuous part of a semimartingale. The paper also shows how to extend the theory to the case where there is microstructure in the observations and derive the first nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new type of result showing path-by-path (strong) approximation between multipower and the (unobserved) RV based on the continuous part of the process. |
| spellingShingle | Shephard, N Sheppard, K Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title | Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title_full | Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title_fullStr | Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title_full_unstemmed | Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title_short | Efficient and feasible inference for the components of financial variation using blocked multipower variation |
| title_sort | efficient and feasible inference for the components of financial variation using blocked multipower variation |
| work_keys_str_mv | AT shephardn efficientandfeasibleinferenceforthecomponentsoffinancialvariationusingblockedmultipowervariation AT sheppardk efficientandfeasibleinferenceforthecomponentsoffinancialvariationusingblockedmultipowervariation |