Show simple item record

dc.contributor.advisorZivot, Eric Wen_US
dc.contributor.authorDonhauser, Brian Jamesen_US
dc.date.accessioned2013-02-25T17:49:21Z
dc.date.available2015-12-14T17:55:55Z
dc.date.issued2013-02-25
dc.date.submitted2012en_US
dc.identifier.otherDonhauser_washington_0250E_10743.pdfen_US
dc.identifier.urihttp://hdl.handle.net/1773/21747
dc.descriptionThesis (Ph.D.)--University of Washington, 2012en_US
dc.description.abstractA large literature has emerged in the last 10 years using high-frequency (intraday) asset returns to estimate lower-frequency phenomena, several of which being conditional daily return variance and its components jump variation and integrated variance. We propose several new estimators of jump variation and integrated variance. We base the first set on the jump detection work of Lee and Mykland (2008). Simply, these estimate jump variation by summing the hard-thresholded or naively shrunk squared returns (and estimate integrated variance as the residual of realized variance). In the second set, we appeal to Johnstone and Silverman (2004, 2005) for their discrete Bayesian model of a sparse signal plus noise and argue for its use as a model of high-frequency asset returns with jumps. Within this model, we derive optimal estimators of jump variation and integrated variance. In a simulation analysis, we find outperformance of our estimators against the established. In an empirical analysis we find dramatically different estimates of jump variation and integrated variance based on the estimation scheme, suggesting careful attention must be paid to the method of decomposing conditional daily return variance into jump variation and integrated variance.en_US
dc.format.mimetypeapplication/pdfen_US
dc.language.isoen_USen_US
dc.rightsCopyright is held by the individual authors.en_US
dc.subjectBayesian inference; integrated variance; jump process; realized variance; sparsity; stochastic volatilityen_US
dc.subject.otherFinanceen_US
dc.subject.otherEconomic theoryen_US
dc.subject.otherStatisticsen_US
dc.subject.otherEconomicsen_US
dc.titleJump Variation in High-Frequency Asset Returns: New Estimation Methodsen_US
dc.typeThesisen_US
dc.embargo.termsDelay release for 2 years -- then make Open Accessen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record