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A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik .
In: Economics Papers.
RePEc:nuf:econwp:0429.

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Cited: 28

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Cites: 11

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Cocites: 50

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  1. The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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  2. Price Jump Indicators: Stock Market Empirics During the Crisis. (2013). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Koenda, Even.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2013-1050.

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  3. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction. (2013). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201321.

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  4. The Identification of Price Jumps. (2011). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Kocenda, Evzen .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp434.

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  5. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

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  6. Measuring downside risk-realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: Economics Papers.
    RePEc:nuf:econwp:0802.

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  7. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution. (2008). Vetter, Mathias ; Podolskij, Mark ; Jacod, Jean.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-61.

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  8. Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-42.

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  9. New tests for jumps: a threshold-based approach. (2008). Podolskij, Mark ; Ziggel, Daniel.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-34.

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  10. Bipower-type estimation in a noisy diffusion setting. (2008). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-25.

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  11. An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models. (2008). Podolskij, Mark ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-23.

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  12. A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. (2008). Podolskij, Mark ; Ziggel, Daniel.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-22.

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  13. Bipower variation for Gaussian processes with stationary increments. (2008). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel ; Jeannette H. C. Woerner, .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-21.

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  14. Inference for the jump part of quadratic variation of Itô semimartingales. (2008). Veraart, Almut.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-17.

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  15. Multipower Variation Under Market Microstructure Effects. (2007). Ysusi, Carla .
    In: Working Papers.
    RePEc:bdm:wpaper:2007-13.

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  16. Power variation for Gaussian processes with stationary increments. (2007). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-42.

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  17. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-27.

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  18. A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. (2007). Podolskij, Mark ; Ziggel, Daniel.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-26.

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  19. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

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  20. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. (2007). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-15.

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  21. Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing. (2006). Podolskij, Mark ; Dette, Holger ; Vetter, Mathias .
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:33:y:2006:i:2:p:259-278.

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  22. Estimating Integrated Volatility Using Absolute High-Frequency Returns. (2006). Ysusi, Carla .
    In: Working Papers.
    RePEc:bdm:wpaper:2006-13.

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  23. Detecting Jumps in High-Frequency Financial Series Using Multipower Variation. (2006). Ysusi, Carla .
    In: Working Papers.
    RePEc:bdm:wpaper:2006-10.

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  24. Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach. (2005). Podolskij, Mark ; Dette, Holger.
    In: Technical Reports.
    RePEc:zbw:sfb475:200550.

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  25. Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale. (2005). Christensen, Kim ; Podolski, Mark .
    In: Technical Reports.
    RePEc:zbw:sfb475:200518.

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  26. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

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  27. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

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  28. Multipower Variation and Stochastic Volatility. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0430.

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References

References cited by this document

  1. 1. Andersen T.G., Bollerslev T., Diebold F.X. and Labys P. (2003): Modeling and Forecasting realized Volatility. Econometrica, 71, 579625.

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  4. 2. Andersen T.G., Bollerslev T. and Diebold F.X. (2004): Parametric and nonparametric measurement of volatility, in Handbook of Financial Econometrics , edited by Ait-Sahalia Y. and Hansen L.P., North Holland, Amsterdam, Forthcoming.
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  5. 3. BarndorffNielsen O.E. and Shephard N. (2002): Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B, 64, 253-280.

  6. 4. BarndorffNielsen O.E. and Shephard N. (2003): Econometrics of testing for jumps in financial economics using bipower variation. Unpublished discussion paper: Nuffield College, Oxford.

  7. 5. BarndorffNielsen O.E. and Shephard N. (2004): Power and bipower variation with stochastic volatility and jumps (with discussion). Journal of Financial Econometrics, 2, 1-48.

  8. 6. BarndorffNielsen O.E. and Shephard N. (2004): Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics. Econometrica, 72, 885925. CLT for bipower variations 35

  9. 7. Becker E. (1998): Th´or`emes limites pour des processus discr´etis´es. PhD Thesis, Univ. P. et M. Curie.
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  10. 8. Jacod, J. (1994): Limit of random measures associated with the increments of a Brownian semimartingale. Unpublished manuscript.
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  11. 9. Jacod, J. and Shiryaev, A. (2003): Limit Theorems for Stochastic Processes, 2d edition. Springer-Verlag: Berlin.
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