Publications [#237983] of Tim Bollerslev

Journal Articles

1. Andersen, TG; Bollerslev, T; Dobrev, D, No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications, Journal of Econometrics, vol. 138 no. 1 (May, 2007), pp. 125-180, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2024/04/18)

   Abstract:
   We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage effects. A novel robust-to-jumps approach is utilized to alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through Monte Carlo methods. Our empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption. © 2006 Elsevier B.V. All rights reserved.