The relative contribution of jumps to total price variance

Journal of Financial Econometrics

Volumn 3, Issue 4, 2005, Pages 456-499

  Huang, Xin ^a   Tauchen, George ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Bipower variation; Quadratic variation; Realized variance; Stochastic volatility

Indexed keywords

EID: 26444481610     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi025     Document Type: Article

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