Bipower variation with jumps and correlated returns

This paper extends the classical work of bipower variation by allowing the return process to be autocorrelated. We propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with jumps.

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Year of publication:	2014
Authors:	Duan, Yunpeng ; Xue, Yi
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 3, p. 367-371
Publisher:	Elsevier
Subject:	Bipower variation \| Fractal Brownian motion \| Volatility \| Jump

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116217