No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

By Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev. 2007

325 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/76b212109b58ec916d19722db1ebbfa74a39e00a

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Citations in the corpus

Jumps and Information Flow in Financial Markets (2012, background): “See Aı̈t-Sahalia (2004), Andersen, Bollerslev, and Dobrev (2007), Huang and Tauchen (2005), Barndorff-Nielsen and Shephard (2006), Jiang and Oomen (2008), Aı̈t-Sahalia and Jacod (2009b), Lee and Mykland (2008), and the references therein.”
Realizing smiles: Options pricing with realized volatility (2013, unknown): “This feature has an interesting probabilistic implication, since our model can be embedded into the class of normal variance-mean mixture as in Barndorff-Nielsen et al. (1982), with yt+1|IVt+1 ∼ N ( r + ( γ̃ − 2 ) IVt+1,IVt+1 ) .”
Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, methodology): “To be precise, we label those twelvemodels as HAR-RV-typemodels, which include: HAR-RV (Corsi, 2009), HAR-RV-J and HAR-RV-CJ (Andersen et al., 2007a, 2007b), HAR-RV-TJ (Corsi et al., 2010), HAR-S-RV-J (Chen and Ghysels, 2011), HAR-RV-PS2 and HAR-RV-PS3 (Patton and Sheppard, 2015), HAR-CSJ and HAR-CS”
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, methodology): “…are estimated by using one of the following types of estimators: realized multipower variations (Barndorff-Nielsen, Shephard, and Winkel 2006), threshold estimators (Mancini 2009), the median or the minimum realized variation (Andersen, Dobrev, and Schaumburg 2009), the corrected realized…”
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011, methodology): “We can relate this endogeneity issue to the analyses of Peters and de Vilder (2006), Andersen, Bollerslev, and Dobrev (2007b), Andersen, Bollerslev, Frederiksen, and Nielsen (2010) and Fleming and Paye (2011), who study the theoretical and empirical properties of returns standardised by realised…”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, methodology): “In this study we start from an apparent puzzle contained in the study of Andersen et al. (2007) (henceforth ABD) and Forsberg and Ghysels (2007); Giot and Laurent (2007); Busch et al. (2006).”
Systemic Co-Jumps (2017, background): “A vast literature concentrates on univariate jump tests applied to broad portfolios, such as stock indices, see, e.g., Barndorff-Nielsen and Shephard (2006); Andersen et al. (2007b); Lee and Mykland (2008); Jiang and Oomen (2008); Aı̈tSahalia and Jacod (2009); Corsi et al. (2010).”
Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance (2012, methodology): “Andersen et al. (2007) also conduct some basic time-series analysis of J t for the S&P500 Futures Index 2 and find that serial autocorrelations up to the tenth order are significant.”
Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper (2011, unknown): “Andersen et al. (2007) prove that this set of normality test is more powerful than conventional normality tests.”
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2010, methodology): “Compared to Andersen et al. (2007b) we accommodate the issue of microstructure noise more directly through the generalized signature plots and rely on the new sequential jump detection technique.”
Robust estimation of intraweek periodicity in volatility and jump detection (2011, methodology): “Andersen et al. (2007b) use a Bonferroni correction to control for the number of spurious jumps detected per day.”
Tails, Fears and Risk Premia (2010, unknown): “To keep the model tractable, we follow the HAR-RV modeling approach of Corsi (2009) and Andersen et al. (2007) and restrict all but the daily, weekly, and monthly lags, or lag 1, 5, and 22, respectively, to be equal to zero.”
Outlyingness weighted covariation (2011, methodology): “Andersen et al. (2007a) empirically verified that the continuous and jump components of price variability have very different dynamics, the first one being very persistent, the latter one being much less predictable.”
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “This can, for instance, alter the finite sample properties of jump tests designed to operate at either the intraday or interday horizon (e.g., Andersen, Bollerslev, and Dobrev, 2007; Barndorff-Nielsen and Shephard, 2006; Lee and Mykland, 2008) and make them significantly leaned toward the…”