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-jump semimartingale processes. We derive the asymptotic behavior of the statistic in the setting of high-frequency observations of the …
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This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...
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M squared returns. When the underlying process is a semimartingale we recall the fundamental result that RV is a … general SV model - which is a special case of the semimartingale model. Then QV is integrated volatility and we can derive the …
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return data. When the underlying process is a semimartingale we recall the fundamental results that RV is a consistent … model - which is a special case of the semimartingale model. Then QV is integrated variance and we can derive the asymptotic …
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