INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES

By Almut E. D. Veraart. Econometric Theory, 2009

50 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/44d28519ea0dc5586b5f70bf92ce2a55eab5a21b

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Citations in the corpus

• Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…quadratic variation of the spot volatility processV (based on a spot volatility estimator, see e.g. Aı̈tSahalia & Jacod (2009), Bandi & Renò (2008), Kristensen (2010), Lee & Mykland (2008), Veraart (2010)) and test statistically whether the estimated[V ] has independent and stationary increments.”
• Bipower Variation for Gaussian Processes with Stationary Increments (2009, unknown): “also [5]), and applications to finance of such extensions are discussed in [20] and [28].”
• Estimating spot volatility with high-frequency financial data (2014, background): “Spot volatility has important applications in studying the intraday patterns of the volatility process, testing price jumps (Lee and Mykland (2007), Veraart (2010)), and estimating parametric stochastic volatility models (Bandi and Reno (2009), Kanaya and Kristensen (2010)).”