Variation, jumps, market frictions and high frequency data in financial econometrics

By Ole E. Barndorff-Nielsen, N. Shephard. 2005

194 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35c492408c3c3d4d998f7a05097306a07a1927be

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Citations in the corpus

The information content of high-frequency data for estimating equity return models and forecasting risk (2010, unknown): “6 The log transformation in (7) results in better finite sample approximation than (6), as already noted by Barndorff-Nielsen and Shephard (2005) and Huang and Tauchen (2005).”
Bipower Variation for Gaussian Processes with Stationary Increments (2009, unknown): “The theory of bipower, and more generally multipower, variation has been developed out of questions raised in mathematical finance; for motivation, some first results, and applications, see [2], [3], [4], [5], [6], [8], [29], [30], [31], and [32].”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “Early work by Fama, Fisher, Jensen, and Roll (1969) and Blume (1970) generally supports the CAPM.”
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models (2006, background): “Microstructure noise is an area of intense current research, and a full review is beyond the scope of this article; a comprehensive recent survey of the issues was given by Barndorff-Nielsen and Shephard (2005).”
Realized Variance and Market Microstructure Noise (2006, background): “Other empirical quantities include the bi-power variation and multi-power variation that are particularlyuseful for detecting jumps, see Barndorff-Nielsen & Shephard (2003, 2004, 2005a, 2005b), Andersen, Bollerslev & Diebold (2003), Bollerslev, Kretschmer, Pigorsch & Tauchen (2005), Huang & Tauchen…”
Econophysics: Empirical facts and agent-based models (2009, unknown): “We refer the reader, wishing to go beyond this brief presentation, to the econometrics reviews by Barndorff-Nielsen and Shephard (2007) or McAleer and Medeiros (2008), for example.”
Optimal combinations of realised volatility estimators (2009, background): “See Andersen, Bollerslev, Christoffersen, and Diebold (2006) and Barndorff-Nielsen and Shephard (2007) for recent reviews of this rapidly-evolving body of literature.”
Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…volatility clusters, the existence of a leverage effect, see Nelson (1991), i.e. the (typically negative) correlation between asset returns and their volatility, see e.g. Barndorff-Nielsen & Shephard (2007, 2012), Ghysels et al. (1996), Shephard & Andersen (2009), Shephard (2005) for a review.”
News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons (2011, background): “With the focus shifted towards measurement, it is indeed the case that leverage has no impact on the in-sample asymptotic analysis that was developed against the backdrop of increasingly available high frequency financial data (see Jacod (1994), Jacod (1996) and Barndorff-Nielsen and Shephard (2007)”