Journal article
Power and bipower variation with stochastic volatility and jumps
- Abstract:
-
This article shows that realized power variation and its extension, realized bipower variation, which we introduce here, are somewhat robust to rare jumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing a model-free and consistent alternative to realized variance. Its robustness property means that if we have a stochastic volatility plus infrequent jumps process, then the difference between realize...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Funding
+ Danish National Research Foundation
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Funding agency for:
Barndorff-Nielsen, O
+ Danish Social Science Research Council
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Funding agency for:
Barndorff-Nielsen, O
Bibliographic Details
- Publisher:
- Oxford University Press Publisher's website
- Journal:
- Journal of Financial Econometrics Journal website
- Volume:
- 2
- Issue:
- 1
- Pages:
- 1-37
- Publication date:
- 2004-01-01
- DOI:
- EISSN:
-
1479-8417
- ISSN:
-
1479-8409
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:f927c62c-1717-4a27-8518-d272b0459d85
- Local pid:
- ora:2070
- Deposit date:
- 2008-06-13
Related Items
Terms of use
- Copyright holder:
- Oxford University Press
- Copyright date:
- 2004
- Notes:
- The full-text of this article is not available in ORA at this time. Citation: Barndorff-Nielsen, O. E. & Shephard, N. (2004). 'Power and bipower variation with stochastic volatility and jumps', Journal of Financial Econometrics, 2(1), 1-37. [Available at http://jfec.oxfordjournals.org/].
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