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Aleksey Kolokolov

Aleksey Kolokolov
Alliance Manchester Business School

PhD

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15
Publications
1,685
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55
Citations

Publications

Publications (15)
Preprint
Full-text available
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard error...
Article
Full-text available
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard error...
Article
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This paper shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether...
Article
Asset prices can be stale. We define price staleness as a lack of price adjustments yielding zero returns (i.e., zeros). The term idleness (respectively, near idleness) is, instead, used to define staleness when trading activity is absent (respectively, close to absent). Using statistical and pricing metrics, we show that zeros are a genuine econom...
Article
This paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we derive limit theorems for the percentage of zero returns observed on a finite time interval and for other related quantities. Within this framework, we develop two nonparametric tests. First, we...
Article
Full-text available
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It hinges on the existence of a latent continuous-time stochastic process $p_t$ valued in the open interv...
Article
Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to traditional estimators. In the case of quarticity, w...
Article
Full-text available
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. The paper shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether...
Article
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These s...
Article
We provide clear-cut evidence for economically and statistically significant mul-tivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is more statistically powerful and economically informativ...

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