Christensen, Kim; Oomen, Roel; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in … has excellent efficiency.
Asymptotically, the quantile-based realised variance is immune to finite activity jumps and … empirical
application illustrates its use on equity data.
Keywords: Finite activity jumps; Integrated variance; Market …