In this paper we consider two semimartingales driven by Wiener processes and (possibly infinite activity) jumps. Given discrete observations we separately estimate the integrated covariation IC from the sum of the co-jumps. The Realized Covariation (RC) approaches the sum of IC with the co-jumps...

In this paper we consider a semimartingale model for the evolution of the price of a financial asset, driven by a Brownian motion (plus drift) and possibly infinite activity jumps. Given discrete observations, the threshold estimator is able to separate the integrated variance from the sum of...

We develop a novel class of time-changed Lévy models which are tractable and readily applicable, capture the leverage effect, and exhibit pure jump processes with finite or infinite activity. Our models feature four nested processes reflecting market, volatility and jump risks, and observation...