Mancini, Cecilia; Gobbi, Fabio - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2010
In this paper we consider two semimartingales driven by Wiener processes and (possibly infinite activity) jumps. Given discrete observations we separately estimate the integrated covariation IC from the sum of the co-jumps. The Realized Covariation (RC) approaches the sum of IC with the co-jumps...