Essays about: "bipower variation"

Found 4 essays containing the words bipower variation.

  1. 1. Detecting anomalies in data streams driven by ajump-diffusion process

    University essay from Umeå universitet/Institutionen för fysik

    Author : Carl Paulin; [2021]
    Keywords : machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

    Abstract : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. READ MORE

  3. 2. Impact of Swiss intraday electricity market introduction on day-ahead prices and traded volume

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martin Patek; Victor Lisnic; [2017]
    Keywords : Electricity prices; Intraday market; Realized variance; Jumps; GARCH;

    Abstract : The introduction of the electricity intraday market in Switzerland on June 26, 2013 provides an opportunity to evaluate the market performance outcomes if an intraday market is added to a day-ahead market. We hypothesize that the introduction of an intraday market in Switzerland has resulted in a decrease in price volatility, volume volatility and traded volume on the day-ahead market. READ MORE

  4. 3. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Agermark; Visar Hoti; [2016-10-04]
    Keywords : forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

    Abstract : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. READ MORE

  5. 4. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Agnieszka Pszczola; Grzegorz Walachowski; [2009]
    Keywords : Bipower variation; Barndorff-Nielsen and Shephard test; Stylized facts; Double exponential jump-diffusion model; Kou model; Options pricing; Cumulant matching;

    Abstract : The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. READ MORE