Ane, Thierry; Metais, Carole - In: International Journal of Business and Economics 9 (2010) 1, pp. 1-22
A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps...