Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
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More about this item
Keywords
Itô semi-martingale; realized volatility; jumps; multipower variation; tripower variation; truncated power variation; quarticity; infinite activity jumps;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-12-13 (Econometrics)
Statistics
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