Inference for the jump part of quadratic variation of Itô semimartingales
DOI10.1017/S0266466609100014zbMATH Open1202.62142OpenAlexW3121693897MaRDI QIDQ3557544FDOQ3557544
Authors: Almut E. D. Veraart 
Publication date: 23 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609100014
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Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
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- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Pricing options on realized variance
- Limit theorems for multipower variation in the presence of jumps
Cited In (13)
- A universal approach to estimate the conditional variance in semimartingale limit theorems
- Stochastic volatility and stochastic leverage
- Estimating fast mean-reverting jumps in electricity market models
- Second-order properties of thresholded realized power variations of FJA additive processes
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Bipower Variation for Gaussian Processes with Stationary Increments
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Spot volatility estimation using delta sequences
- Estimating spot volatility with high-frequency financial data
- Estimation of the instantaneous volatility
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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