Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - Institute of Economic Research, Hitotsubashi University - 2009
We develop a novel approach to estimating the integrated variance of a general jump-diffusion with stochastic volatility. Our approach exploits the relationship between the speed (distance traveled per fixed time unit) and passage time (time taken to travel a fixed distance) of the Brownian...