Matches in SemOpenAlex for { <https://semopenalex.org/work/W174630537> ?p ?o ?g. }
- W174630537 abstract "Realised bipower variation consistently estimates the quadratic variation of the continuous component of prices. In this paper we generalise this concept to realised bipower covariation, study its properties, illustrate its use, derive its asymptotic distribution and use it to test for jumps in multivariate price processes. We also introduce a new concept called cojumping, where individual assets all have jumps, but it is possible to construct portfolios which have continous sample paths. NOTE: This paper is not finished." @default.
- W174630537 created "2016-06-24" @default.
- W174630537 creator A5032807672 @default.
- W174630537 date "2004-01-01" @default.
- W174630537 modified "2023-10-01" @default.
- W174630537 title "Measuring the impact of jumps in multivariate price processes using bipower covariation" @default.
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