Power and bipower variation with stochastic volatility and jumps.
This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps. We show realised bipower variation estimates integrated variance in SV models--- thus providing a model free and consistent alternative to realised v...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2003
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