全球智库信息集成服务系统(G2TT): Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15808
来源ID	Working Paper 15808
	Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
	Yacine Aït-Sahalia; Jean Jacod
发表日期	2010-03-11
出版年	2010
语种	英语
摘要	This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to incorporate to effect of market microstructure noise on the test statistics, apply the methodology to high frequency individual stock returns, transactions and quotes, stock index returns and compare the qualitative features of the estimated process for these different data and discuss the economic implications of the results.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w15808
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/573483
推荐引用方式 GB/T 7714	Yacine Aït-Sahalia,Jean Jacod. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. 2010.