Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
By Yacine Aït-Sahalia, Jean Jacod. 2010
201 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/f1517707b6cedc40d46b562c611ebe04edb6c66a
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In Finance
- V. Todorov
- Mark Podolskij
- Tim Bollerslev
- Mathias Vetter
- Bruno Feunou
- Andrew J. Patton
- Xinbing Kong
- Peter F. Christoffersen
Citations in the corpus
- Understanding limit theorems for semimartingales: a short survey (2009, methodology): “…and realised jumps (see, e.g. Theorem 2, Example 3 and Theorem 4 of this paper or Barndorff-Nielsen and Shephard (2004), Mancini (2001)), or for performing various test procedures (see, e.g. Aït-Sahalia and Jacod, 2009; Barndorff-Nielsen and Shephard, 2006; Dette, Podolskij and Vetter (2006)).”
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “In concrete applications, inference is obscured by microstructure noise at the tick-by-tick frequency (e.g., Hansen and Lunde, 2006) and the existence of price jumps that are potentially very small and highly active (e.g., A¨ıt-Sahalia and Jacod, 2012a).”
- Estimation of Jump Tails (2011, background): “, Huang and Tauchen (2005), Andersen et al. (2007), and Aı̈t-Sahalia and Jacod (2009a).”
- Martingale optimal transport in the Skorokhod space (2014, background): “This generality is strongly motivated by the fact that investors use several assets in their portfolios and the observed stock price processes contain jump components [3,4].”
- Tails, Fears and Risk Premia (2010, unknown): “25 (in daily percentage units), which is consistent with the recent non-parametric evidence in Aı̈t-Sahalia and Jacod (2009). Turning to the results, Table 5 reports the Median and Median Absolute Deviation (MAD) estimates for the two tail measures obtained across 5, 000 simulated “days” for each of”
- Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency (2017, unknown): “Barndorff-Nielsen and Shephard (2004) and Aı̈t-Sahalia and Jacod (2012). For the IRL estimator, the rule-of-thumb choice of the block size kn is approximately between 0.”
- Option Valuation with Observable Volatility and Jump Dynamics (2015, background): “When estimating continuous time models of the type in (1), the literature often reports annualized parameters.”