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Feasible inference for realised variance in the presence of jumps

Author

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  • Almut Elisabeth Dorothea Veraart

Abstract

Here we assume that the logarithmic asset price is given by a semimartingale. Jacod (2006) has derived an infeasible central limit theorem for the realised variance in such a general framework. However, here we focus on constructing a feasible limit theorem. We propose a new estimator for the asymptotic variance of the realised variance. This new estimator is based on generalised versions of the realised variance and the realised bipower variation. We prove the consistency of this estimator and can derive a feasible limit theorem for the realised variance.

Suggested Citation

  • Almut Elisabeth Dorothea Veraart, 2007. "Feasible inference for realised variance in the presence of jumps," Economics Series Working Papers 2007-FE-02, University of Oxford, Department of Economics.
    • Handle: RePEc:oxf:wpaper:2007-fe-02
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    File URL: https://ora.ox.ac.uk/objects/uuid:3272f4d2-e123-4c47-bf10-fd2b077c240e
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    Cited by:

    1. Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series 523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

    More about this item

    Keywords

    Bipower variation; Feasible inference; Realised variance; Semimartingale; Stochastic volatility;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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