| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12963 |
| 来源ID | Working Paper 12963 |
| 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 | |
| 发表日期 | 2007-03-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Data Collection ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12963 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570629 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Dobrislav Dobrev. 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. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12963.pdf（668KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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