How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

DOI10.1007/S10182-011-0158-1zbMATH Open1274.62697OpenAlexW3122250454MaRDI QIDQ635940FDOQ635940

Authors: Almut E. D. Veraart 

Publication date: 25 August 2011

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/22014864/rp10_65.pdf

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zbMATH Keywords

jumpsinferencestochastic volatilityrealised variancerealised multipower variationtruncated realised variance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

Cited In (9)

• Truncated realized covariance when prices have infinite variation jumps
• Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
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• Volatility estimation and jump testing via realized information variation
• Jump-robust volatility estimation using nearest neighbor truncation
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Volatility estimation and jump detection for drift-diffusion processes

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