Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@mi.aau.dk
Author-Workplace-Name: University of Aarhus, Denmark
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford
Title: Impact of jumps on returns and realised variances: econometric 
  analysis of time-deformed Levy processes
Abstract:
  In order to assess the effect of jumps on realised variance calculations, 
  we study some of the econometric properties of time-changed 
  Levy processes. We show that in general we can derive the second order properties 
  of realised variances and use these to estimate the parameters of such models. 
  Our analytic results give a first indication of the degrees of inconsistency of 
  realised variance as an estimator of the time-change in the non-Brownian case. Further, 
  our results suggest volatility is even more predictable than has been shown by the 
  recent econometric work on realised variance.
Keywords: Kalman filter, Levy process, Long-memory, Quasi-likelihood, Realised variance, 
  Stochastic volatility, Time-change.
Length:47 pages
Creation-Date: 2003-04-01
Number:2003-W12
File-URL:http://www.nuff.ox.ac.uk/economics/papers/2003/w12/qml_small.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0312