This paper studies the impact of jumps on volatility estimation and inference based on various realised variation … asymptotic theory of those realised variation measures and present a new estimator for the asymptotic ‘variance’ of the centered … and the presence of additional independent or dependent jumps in the volatility on the finite sample performance of the …

weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …

-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the … their volatility played an increasing role in the A-share market, especially CPI inflation, at the expense of speculative … in 2001. However the disconnect of long-run stock market volatility from real economic activity in China is particularly …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

Estimating the covariance and correlation between assets using high frequency data is challenging due to market … stochastic volatility the resulting QML estimator is positive semi-definite, uses all available data, is consistent and …