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, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of …
Persistent link: https://www.econbiz.de/10009441447
This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...
Persistent link: https://www.econbiz.de/10009441547