Testing jumps for individual stock

Testing jumps for individual stock Dissertation example
Masters
Dissertation
Finance & Accounting
Pages 16 (4016 words)
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Literature review 1. BNS 2004 – 2006 a) Theoretical background In order not to require a fully observed state variable as is realized in Ait-Sahalia's approach in 2001, evidence is provided by Barndorff-Nielsen and Shephard (2004a, 2006) of the presence of jumps in higher frequency financial time series…

Introduction

In this test, emphasis is placed in the comparison of two measures of variance: the Bipower Variation which is robust to jump contribution and the Realized Variance which includes the contribution of jumps to the total variance. And based on a high frequency data set of exchange rates, a statistically significant test of the difference between these two measures of variance provides evidence on the presence of jumps. ...
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