Showing papers by "Neil Shephard published in 2005"
TL;DR: In this article, the authors provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths and apply the tests to exchange rate data and show that the null of a continuous sample path is frequently rejected.
Abstract: In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior We also apply the tests to exchange rate data and show that the null of a continuous sample path is frequently rejected Most of the jumps the statistics identify are associated with governmental macroeconomic announcements Copyright 2006, Oxford University Press
1,045 citations
Journal Article•
TL;DR: In this paper, the authors present a model-based approach for estimating Stochastic Volatility Models with Diagnostics and a closed-form solution for options with stochastic volatility, with applications to bond and currency options.
Abstract: General Introduction PART I: MODEL BUILDING 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices 4. The Pricing of Options on Assets with Stochastic Volatilities 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model 6. Multivariate Stochastic Variance Models 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling 8. Long Memory in Continuous-time Stochastic Volatility Models PART II: INFERENCE 9. Bayesian Analysis of Stochastic Volatility Models 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 11. Estimation of Stochastic Volatility Models with Diagnostics PART III: OPTION PRICING 12. Pricing Foreign Currency Options with Stochastic Volatility 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation PART IV: REALISED VARIATION 15. The Distribution of Exchange Rate Volatility 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models Index
378 citations
TL;DR: This work takes a popular matrix programming language (Ox), and implements a message-passing interface using MPI, and addresses the issue of parallel random number generation.
Abstract: Parallel computation has a long history in econometric computing, but is not at all wide spread. We believe that a major impediment is the labour cost of coding for parallel architectures. Moreover, programs for specific hardware often become obsolete quite quickly. Our approach is to take a popular matrix programming language (Ox), and implement a message-passing interface using MPI. Next, object-oriented programming allows us to hide the specific parallelization code, so that a program does not need to be rewritten when it is ported from the desktop to a distributed network of computers. Our focus is on so-called embarrassingly parallel computations, and we address the issue of parallel random number generation.
23 citations
Posted Content•
TL;DR: In this article, the robustness of probability limits and central limit theory for realised multipower variation when adding finite activity and infinite activity jump processes to an underlying Brownian semimartingale was studied.
Abstract: In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.
6 citations
Posted Content•
01 Jan 2005TL;DR: In this paper, the authors provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics, which encompass the usual quadratic variation, power variation and bipower variations.
Abstract: In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.
4 citations
Posted Content•
TL;DR: In this paper, the authors provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics, which encompass the usual quadratic variation, power variation and bipower variations.
Abstract: In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.