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 …

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 …

financial assets. We analyze results from a Monte Carlo simulation which point to the conclusion that the multitude of jumps …

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

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