Department of Economics and Business Economics

Inference for the jump part of quadratic variation of Itô semimartingales

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • School of Economics and Management
Recent research has focused on modeling asset prices by Itô semimartingales. In such a modeling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realized variance and realized multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realized variance and realized multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory that is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.
Original languageEnglish
JournalEconometric Theory
Volume26
Issue2
Pages (from-to)331-368
Number of pages38
ISSN0266-4666
DOIs
Publication statusPublished - 2010

See relations at Aarhus University Citationformats

ID: 17995033