WebPower and bipower variation with stochastic volatility and jumps Ole E. Barndorff-Nielsen TheCentreforMathematicalPhysicsandStochastics(MaPhySto), … WebTo this purpose, we introduce the concept of threshold bipower variation, which is based on the joint use of bipower variation and threshold estimation. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem in the presence of jumps and provides less biased estimates, with respect to the ...

ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP …

Webcommonly used estimators of variation such as realized volatility, but it also encompasses more recently suggested quantities such as realized power varia-tion and realized bipower variation. We considerably strengthen existing results on the latter two quantities, deepening our understanding and unifying their treatment. Webpresence of volatility and rare jumps by using power and bipower variation. Realised bipower variation also provides a new asymptotically unbiased, model free econometric … membean go contest

Financial Econometrics and Volatility Models …

WebThis paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps. We show realised bipower … WebThis is true whether the measure of future volatility is realized variance, bipower variation, negative re-alized semivariance or positive realized semivariance. Moreover, it is true for horizons ranging from one day to three months, both in-sample and (pseudo-)out-of-sample. Second, we use realized semivariances WebJun 13, 2003 · We propose high-frequency volatility estimators with multiple change points that are $\ell_1$-regularized versions of two classical estimators: quadratic variation and … membean english