quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the … multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the …

This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realised variance calculations …–maximumlikelihood setup to draw inference on the model parameters. In order to do that, this paper introduces a new methodology for deriving …

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very …

idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently … portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and not … necessarily symmetric. Our estimates also point to the existence of strong dependencies between the market-wide jumps and the …

of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps …