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• W2080143325 abstract "Recent research has focused on modelling asset prices by Ito semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realised variance and realised multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory." @default.
• W2080143325 created "2016-06-24" @default.
• W2080143325 creator A5081083784 @default.
• W2080143325 date "2008-01-01" @default.
• W2080143325 modified "2023-09-26" @default.
• W2080143325 title "Inference for the Jump Part of Quadratic Variation of Itô Semimartingales" @default.
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• W2080143325 doi "https://doi.org/10.2139/ssrn.1148151" @default.
• W2080143325 hasPublicationYear "2008" @default.
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