Robert ("Red") Davies - Practice JMT
Volatility Jump Regressions
Date: 09/26/2016 (Mon)
Time: 11:30am- 1:00pm
Location: Seminar will be held on-site: Social Sciences 111
Organizer: Jia Li, Ph.D.
Meeting Schedule: (Not currently open for scheduling. Please contact the seminar organizer listed above.)
All meetings will be held in the same location as the seminar unless otherwise noted.
11:30am - Seminar Presentation (11:30am to 1:00pm)
Additional Comments: Abstract: This paper develops econometric tools for studying the jump dependencies between the underlying or latent spot volatilities of two assets from high-frequency observations on a fixed time interval – with a particular interest in the relationship between the individual volatilities of traded assets and the volatilities of aggregate risk factors such as the market volatility. The paper derives an asymptotically valid test for the stability of a linear volatility jump relationship between these assets and proposes an asymptoticly valid and consistent likelihood based estimator for the beta in such relationships. In addition, the paper proposes a bootstrap procedure for conducting inference together with a justification of its asymptotic validity.