How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

Almut Veraart

AStA Advances in Statistical Analysis, 2011, vol. 95, issue 3, 253-291

Keywords: Realised variance; Realised multipower variation; Truncated realised variance; Inference; Stochastic volatility; Jumps (search for similar items in EconPapers)
Date: 2011
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Working Paper: How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (2010)
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DOI: 10.1007/s10182-011-0158-1

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