Bipower variation with jumps and correlated returns

Yunpeng Duan and Yi Xue ()

Economics Letters, 2014, vol. 125, issue 3, 367-371

Abstract: This paper extends the classical work of bipower variation by allowing the return process to be autocorrelated. We propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with jumps.

Keywords: Bipower variation; Fractal Brownian motion; Volatility; Jump (search for similar items in EconPapers)
JEL-codes: C1 C13 C14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:3:p:367-371

DOI: 10.1016/j.econlet.2014.10.018

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