Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects.  In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...

This paper looks at some recent work on estimating quadratic variation using realised variance (RV) - that is sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high frequency financial return data. When the underlying process is a...

In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of...

This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial...

Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps. We show realised bipower variation estimates integrated variance in SV models --- thus providing a model free and consistent alternative to...

In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy processes. We show that in general we can derive the second order properties of realised variances and use these to estimate the parameters of such models....

We use high frequency financial data to proxy, via the realised variance, each days financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...

Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.