Hybrid journal (It can contain Open Access articles) ISSN (Print) 1479-8409 - ISSN (Online) 1479-8417 Published by Oxford University Press[396 journals]

Authors:Bandi F; Patton A. Pages: 523 - 525 Abstract: Realized measures of power variation and the notion of stable convergence have been central to the econometrics of high-frequency data over the last 15 years. Their combined use has led to new insights about the dynamics of asset prices. PubDate: Thu, 04 Oct 2018 00:00:00 GMT DOI: 10.1093/jjfinec/nby027 Issue No:Vol. 16, No. 4 (2018)

Authors:Haug S; Klüppelberg C, Straub G. Pages: 599 - 628 Abstract: We construct fractionally integrated continuous-time GARCH models, which capture the observed long-range dependence of squared volatility in high-frequency data. Since the usual Molchan–Golosov and Mandelbrot-van-Ness fractional kernels lead to problems in the definition of the model, we resort to moderately long-memory processes by choosing a fractional parameter d∈(−0.5,0) and remove the singularities of the kernel to obtain nonpathological sample paths. The volatility of the new fractional continuous-time GARCH process has positive features like stationarity, and its covariance function shows an algebraic decay, which makes it applicable to econometric high-frequency data. The model is fitted to exchange rate data using a simulation-based version of the generalized method of moments.* We thank Aleksey Min from the Chair of Mathematical Finance at the Technical University of Munich for access to the Chair’s Thomas Reuters database. Furthermore, we would like to thank Thiago do Rêgo Sousa for interesting discussions and useful comments on the simulation-based version of the generalized method of moments. PubDate: Thu, 04 Oct 2018 00:00:00 GMT DOI: 10.1093/jjfinec/nby020 Issue No:Vol. 16, No. 4 (2018)

Authors:Jacod J. Pages: 526 - 569 Abstract: We consider a Brownian semimartingale X (the sum of a stochastic integral w.r.t. a Brownian motion and an integral w.r.t. Lebesgue measure), and for each n an increasing sequence T(n, i) of stopping times and a sequence of positive ℱT(n,i)-measurable variables Δ(n,i) such that S(n,i):=T(n,i)+Δ(n,i)≤T(n,i+1). We are interested in the limiting behavior of processes of the form Utn(g)=δn∑i:S(n,i)≤t[g(T(n,i),ξin)−αin(g)], where δn is a normalizing sequence tending to 0 and ξin=Δ(n,i)−1/2(XS(n,i)−XT(n,i)) and αin(g) are suitable centering terms and g is some predictable function of (ω,t,x). Under rather weak assumptions on the sequences T(n, i) as n goes to infinity, we prove that these processes converge (stably) in law to the stochastic integral of g w.r.t. a random measure B which is, conditionally on the path of X, a Gaussian random measure. We give some applications to rates of convergence in discrete approximations for the p-variation processes and local times. PubDate: Wed, 02 Aug 2017 00:00:00 GMT DOI: 10.1093/jjfinec/nbx021 Issue No:Vol. 16, No. 4 (2017)

Authors:Li J; Xiu D. Pages: 570 - 582 Abstract: * We thank the Editor (Federico Bandi) for inviting us to contribute to this special issue. PubDate: Tue, 14 Nov 2017 00:00:00 GMT DOI: 10.1093/jjfinec/nbx034 Issue No:Vol. 16, No. 4 (2017)

Authors:Li Y; Zheng X. Pages: 583 - 587 Abstract: First of all, we send our extremely belated congratulations to Professor Jean Jacod, on such an insightful and well-written article which promoted the prosperity of the field of high-frequency data research over the past two decades. We would also like to congratulate the Journal of Financial Econometrics for recognizing this important article. PubDate: Mon, 11 Dec 2017 00:00:00 GMT DOI: 10.1093/jjfinec/nbx035 Issue No:Vol. 16, No. 4 (2017)

Authors:Podolskij M; Rosenbaum M. Pages: 588 - 598 Abstract: We consider high-frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the process. We show that as in the diffusion case, these statistics indeed converge to some local times up to a constant factor. As a corollary, we provide limit theorems for the quadratic variation of the absolute value of a fractional Brownian motion. PubDate: Thu, 14 Dec 2017 00:00:00 GMT DOI: 10.1093/jjfinec/nbx036 Issue No:Vol. 16, No. 4 (2017)

Authors:Kolokolov A; Renò R. Pages: 629 - 659 Abstract: Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to traditional estimators. In the case of quarticity, we also prove that the optimal combination is a nearly efficient estimator, being arbitrarily close to the nonparametric efficiency bound as the number of consecutive returns employed diverges. We provide guidance on how to select the optimal number of consecutive returns to minimize mean square error. The implementation on U.S. stock prices corroborates our theoretical findings and further shows that our proposed quarticity estimator noticeably reduces the number of detected jumps, and improves the quality of volatility forecasts. PubDate: Fri, 30 Jun 2017 00:00:00 GMT DOI: 10.1093/jjfinec/nbx018 Issue No:Vol. 16, No. 4 (2017)