Feasible inference for realised variance in the presence of jumps

Almut Veraart

No 2007-FE-02, Economics Series Working Papers from University of Oxford, Department of Economics

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.

Keywords: Bipower variation; Feasible inference; Realised variance; Semimartingale; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C4 C5 (search for similar items in EconPapers)
Date: 2007-02-01
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Feasible inference for realised variance in the presence of jumps (2007)
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