No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
Subtitle: theory and testable distributional implications
By: Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev.
Contributors: Andersen, Torben G.; Tim, Bollerslev.; Dobrev,Dobrislav.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 12963; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12963.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions.  We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage effects.  A novel robust-to-jumps approach is utilized to alleviate microstructure frictions for realized volatility estimation.  Size and power of the procedure are explored through Monte Carlo methods.  Our empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/18/2007.

Includes bibliographical references.

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