Power and bipower variation with stochastic volatility and jumps
This article shows that realized power variation and its extension, realized bipower variation, which we introduce here, are somewhat robust to rare jumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing a...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Oxford University Press
2004
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| Subjects: |