Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Lévy processes. We show that in general realised variance is an inconsistent estimator of the time-change, however we can derive the second-order properties of realis...
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| 格式: | Journal article |
| 語言: | English |
| 出版: |
Elsevier
2005
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| 主題: |
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