拉斯维加斯9888

标题：An econometric defence of pure-jump price dynamics

汇报人：Stephen Taylor（Lancaster University Management School）

功夫：3月22日（周二）14:00-15:30pm

地址：拉斯维加斯9888新楼215教室

提要：

Pure-jump stochastic processes are shown to be capable of explaining many empirical features of high-frequency asset prices. A simple pure-jump process can match the empirical bipower variation, realized variance and jump detection statistics of Andersen, Bollerslev and Dobrev (2007) at the two-minute frequency. A multi-frequency analysis of Spyder returns shows the theoretical predictions can also be aligned reasonably accurately with the empirical evidence across more than one sampling frequency.

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