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• W1551084669 abstract "When the log-price process incorporates a jump component, realised variance will no longer estimate the integrated variance since its probability limit will be determined by the continuous and jump components. Instead realised bipower variation, tripower variation and quadpower variation are consistent estimators of integrated variance even in the presence of jumps. In this paper we derive the limit distributions of realised tripower and quadpower variation, allowing us to compare these three estimators of integrated variance. Using the limit theories for the differences of the errors, tests for jumps are proposed for each estimator. Using simulated data, the performance of each of these tests is compared. The tests are also applied to empirical data but results need to be taken carefully as market microstructure effects may contaminate real data." @default.
• W1551084669 created "2016-06-24" @default.
• W1551084669 creator A5034934662 @default.
• W1551084669 date "2006-09-01" @default.
• W1551084669 modified "2023-09-27" @default.
• W1551084669 title "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation" @default.
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• W1551084669 hasPublicationYear "2006" @default.
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