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...
| 主要な著者: | , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
Oxford University Press
2004
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| 主題: |