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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes

Abstract:

In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Lévy 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-c...

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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
"Financial Economics", "Econometrics"
Oxford college:
Nuffield College
Role:
Author
Publisher:
Elsevier Publisher's website
Journal:
Journal of Econometrics Journal website
Volume:
131
Issue:
1-2
Pages:
217-252
Publication date:
2005-03-05
DOI:
ISSN:
0304-4076
Language:
English
Subjects:
UUID:
uuid:792b09ec-9ad5-4509-b529-7760b2d1b245
Local pid:
ora:2055
Deposit date:
2008-06-13

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