Power and bipower variation with stochastic volatility and jumps

By Ole E. Barndorff-Nielsen, N. Shephard. 2003

2,081 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/a80b45eb104dbb7804d96f86fb7533247c920ce3

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Citations in the corpus

Bipower-type estimation in a noisy diffusion setting (2008, background): “See for example Andersen et al. [3] or Barndorff-Nielsen and Shephard [6].”
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, background): “Barndorff-Nielsen and Shephard (2004) proposed the first robust to jumps estimator of the integrated variance, the realized bipower variation (BVt ), constructed to reduce the impact of jump returns on the volatility estimate by multiplying them with adjacent jump-free returns: BVt = 1.57 n∑ j=2…”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, neutral): “…realized volatility may be measured with 3 good precision at the daily level from intraday price data (see, e.g., Andersen et al. (2001, 2003b) and Barndorff-Nielsen and Shephard (2002b, 2004)).1 These measures provide direct data-driven estimates of the underlying realized quadratic variation…”
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (2013, positive): “The first part of the result is proved by Corradi et al. (2011) for bi-power and tri-power variation of Barndorff-Nielsen & Shephard (2004).”
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (2019, methodology): “Jump and cojump detection To extract the significant jump component, we employed the Z test of Barndorff-Nielsen and Shephard (2006) to test for the significance of jumps. Instead of using the original Z test statistics, we used the Z-ratio test statistic—which was shown to have better power propert”
Trading activity, realized volatility and jumps (2010, methodology): “The Barndorff-Nielsen and Shephard (2004, 2006) results, extended in Barndorff-Nielsen, Graversen, Jacod, Podolskij, and Shephard (2005), imply: RVt+1(∆)−BVt+1(∆)√ (µ−41 + 2µ −2 1 − 5)∆ ∫ t+1 t σ4(s)ds → N(0, 1), (9) when there is no jump and for ∆ → 0, under sufficient regularity conditions.”
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models (2006, methodology): “We can do so using the nonparametric tests proposed by Barndorff-Nielsen and Shephard (2004, 2006a).”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, positive): “Bollerslev and Zhang (2003), Barndorff-Nielsen and Shephard (2004a), and Andersen, Bollerslev, Diebold, and Wu (2005, 2006), in particular, have previ- ously explored the use of high-frequency data and the asymptotic notion of increasingly finer sampled returns over fixed time intervals for more…”
Box–Cox transforms for realized volatility (2011, background): “(5) It contains the log transformation for realized volatility (when β = 0) and the raw statistic (when β = 1) as special cases.”
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model (2013, methodology): “[21] O. E. Barndorff-Nielsen and N. Shephard, “Power and bipower variation with stochastic volatility and jumps,” Journal of Financial Econometrics, vol. 2, no. 1, pp. 1–37, 2004.”
Bipower Variation for Gaussian Processes with Stationary Increments (2009, neutral): “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].”
Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007, background): “See for example Andersen et al. (2006), Barndorff-Nielsen and Shephard (2004) and Huang and Tauchen (2005) on jumps in modeling and forecasting return volatility, Andersen et al. (2002) and Eraker et al. (2003) on jumps in stock market, Piazzesi (2005) and Johannes (2004) on bond market, Bates (19”
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004, background): “It has been introduced in [4] and [5], where it is shown that the bipower variation processes exist for all nonnegative indices r, s as soon as Y is a continuous semimartingale of “Itô type” with smooth enough coefficients.”