Econometrics of testing for jumps in financial economics using bipower variation

Journal of Financial Econometrics

Volumn 4, Issue 1, 2006, Pages 1-30

  Barndorff Nielsen, Ole E ^a   Shephard, Neil ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Bipower variation; Jump process; Quadratic variation; Realized variance; Semimartingales; Stochastic volatility

Indexed keywords

EID: 30744467415     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi022     Document Type: Article

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