Efficient and feasible inference for the components of financial variation using blocked multipower variation
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We i...
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| Format: | Working paper |
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University of Oxford
2012
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