LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

Econometrics of testing for jumps in financial economics using bipower variation

In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We also apply the tests to exchange rate data and show that the null of a continuous sample path is frequen...

Financial Econometrics *

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...

Limit theorems for multipower variation in the presence of jumps

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Essays in Financial Econometrics

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I find strong evidence that the volatility factors, especially the volatility level factor, Granger cau...

Financial Econometrics