Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy 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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2006
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