Measuring the impact of jumps in multivariate price processes using bipower covariation

By Ole E. Barndorff-Nielsen. 2004

80 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5b1739866d07319979a70fe9f5bcde77e94bd1d2

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Citations in the corpus

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, methodology): “We consider here the modified versions of the quantities vnr,l and w n defined in Barndorff-Nielsen and Shephard (2004a) because, by Theorem A.1, ṽnr,l and w̃ n exclude from the sums the terms affected by jumps.”
Outlyingness weighted covariation (2011, unknown): “For this purpose, Barndorff-Nielsen and Shephard (2004b) introduce the Realized BiPower Covariation (RBPCov) as the estimator whose value over period [0, 1] is the N -dimensional square matrix with k, l-th element equal to π 8 ( ∑⌊1/∆⌋ i=2 ∣ ∣r(k)i,∆ + r(l)i,∆ ∣ ∣ ∣ ∣r(k)i−1,∆ + r(l)i−1,∆ ∣ ∣ − ∣…”
HAR Modeling for Realized Volatility Forecasting (2012, unknown): “10 For Σ t , [17] chose the bi-power covariance of [15], but the same principle can be applied to any other covariance estimators.”
Risk, Jumps, and Diversification (2008, methodology): “Meanwhile, as noted by Barndorff-Nielsen and Shephard (2004), a studentized version of the aforementioned ratio statistics, RJt, may be expected to perform particularly well as it largely mitigates the effects of level shifts in variance associated with time varying stochastic volatility.”
Econometrics of co-jumps in high-frequency data with noise (2015, background): “In this context, let us mention the important contributions by Barndorff-Nielsen and Shephard (2006), Jiang and Oomen (2008), Bollerslev et al. (2008), Mancini (2009), Jacod (2008), Fan and Wang (2007), Podolskji and Ziggel (2010) and Curci and Corsi (2012).”
INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (2009, background): “From Barndorff-Nielsen & Shephard (2002, 2007b), we know that we obtain the following central limit result for realised variance in the absence ofjumps.”