Power and Multipower Variation: inference for high frequency data

By Jeannette H. C. Woerner. 2006

81 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/719eac20fd82b3f5f2bbb1d41ccdc3a88239bf41

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Citations in the corpus

Multipower Variation for Brownian Semistationary Processes (2011, background): “The concept of (realised) multipower variation was originally introduced in [13] in the context of semimartingales, and the mathematical theory has been studied in a number of papers [6,17,24, 27] while various applications are the main subjects in [14–16,25,33].”
Variation, jumps, market frictions and high frequency data in financial econometrics (2005, unknown): “Both Barndorff-Nielsen, Shephard, and Winkel (2004) and Woerner (2004) give results which prove that the probability limit of realised BPV is unaffected by some types of infinite activity jump processes.”
Inference for Continuous Semimartingales Observed at High Frequency: A General Approach (2007, unknown): “The same considerations as in Example 1 apply to bi-and multipower estimators (see, in particular, Barndorff-Nielsen and Shephard (2004), Woerner (2004) and Barndorff-Nielsen, Graversen, Jacod, Podolskij, and Shephard (2006)).”
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2007, unknown): “Such studies can be found in Barndorff-Nielsen, Shephard and Winkel [10], Woerner [23] and in a recent paper of Ait-Sahalia and Jacod [1] for the noiseless framework.”
Estimation for L\'{e}vy processes from high frequency data within a long time interval (2011, methodology): “Inserting these bounds in (26) implies (30) |E(p̄∗(u)) − p∗(u)| ≤ C∆|p∗(u)||u|(1 + |u|) + C ′∆(1 + |u|) + C ′′∆2(1 + |u|)(3) Gathering the terms gives the announced bound for the risk of p̄m.”
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, background): “[36] and the discussion in [26], section 3.”
Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes (2009, background): “Tests for deciding whether a given path has jumps or not on the interval [0, T ] have been already developed (see [1, 3, 4, 12, 13, 14, 15, 17] and [5] discuss some multivariate extensions of the test in [4]).”
Limit theorems for multipower variation in the presence of jumps (2006, unknown): “The only existing results we know of are due to Jacod and Protter [9] who studied the case where r = 2, Y ∈ BSM and the jumps come from a purely discontinuous Lévy process, and [13] who derives results closely related to ours.”
Realised quantile-based estimation of the integrated variance (2010, background): “Recentwork by Aït-Sahalia and Jacod (2009a), Barndorff-Nielsen et al. (2006) and Woerner (2006) has shown that bi-power variation is not only robust to finite activity jumps (as considered in this paper) but also to certain infinite activity jump specifications.”
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].”
Asymptotic properties of realized power variations and related functionals of semimartingales (2006, background): “In [8] we have considered the same problems than here when X is a L´evy processes, with almost complete answers.”
Volatility estimators for discretely sampled Lévy processes (2007, background): “Wiener process, Y is typically a compound Poisson or other specific Levy process and σ may be stochastic (see, e.g., [4, 15, 21 , 22]).”
Asymptotic properties of power variations of Lévy processes (2005, result): “Let us quote for example [2–4], and some partial results when the process under considerations has jumps may be found in [5, 12] or [13], see also [1] in a different context.”
INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (2009, background): “…can be further generalised to realised multipower variation (see e.g. BarndorffNielsen, Graversen, Jacod, Podolskij & Shephard (2006) fora treatment of realised multipower variation in the absence of jumps and Woerner (2006) and Jacod (2006) for the corresponding results in the presence of jumps).”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “Asymptotic properties of multipower variation have been studied by Barndorff-Nielsen et al. (2006) in absence of jumps, and by Barndorff-Nielsen, Shephard and Winkel (2006) and Woerner (2006) in presence of jumps.”