MARC Record from Library of Congress

LEADER: 02080nam a22003137a 4500
001 2007615117
003 DLC
005 20070518115914.0
007 cr |||||||||||
008 070518s2007 mau sb 000 0 eng
010 $a 2007615117
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aAndersen, Torben G.
245 10 $aNo-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise$h[electronic resource] :$btheory and testable distributional implications /$cTorben G. Andersen, Tim Bollerslev, Dobrislav Dobrev.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 12963
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 5/18/2007.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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"--National Bureau of Economic Research web site.
700 1 $aAndersen, Torben G.
700 1 $aTim, Bollerslev.
700 1 $aDobrev,Dobrislav.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 12963.
856 40 $uhttp://papers.nber.org/papers/w12963