Truncated Realized Covariance when prices have infinite variation jumps

Cecilia Mancini

Stochastic Processes and their Applications, 2017, vol. 127, issue 6, 1998-2035

Abstract: The speed of convergence of the Truncated Realized Covariance (TRC) to the Integrated Covariation between the Brownian parts of two semimartingales is heavily influenced by the presence of infinite activity jumps with infinite variation (iV), through both the degree of dependence and the jump activity indices of the two small jumps processes. To show this, marginal stable small jumps with a parametric dependence structure are considered. The estimator is efficient only when the iV jumps have moderate activity.

Keywords: Brownian correlation coefficient; Co-jump; Integrated covariation; Lévy copula; Threshold estimator (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2016.09.008

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