Realized Volatility and Multipower Variation
Torben Andersen () and
Viktor Todorov ()
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Viktor Todorov: Kellogg School of Management, Northwestern University, Postal: Department of Finance, Kellogg School of Management, Northwestern University, Evanston, IL 60208
CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from high-frequency observations which provide consistent and asymptotically normal estimates of the underlying return variation. The paper discusses applications of these measures for reduced-form volatility modeling and forecasting as well as testing for the presence of jumps.
Keywords: realized volatility; multipower variation; jumps; quadratic variation; volatility estimation; volatility forecasting; jump testing; continuous-time stochastic volatility model. (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2009-49
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