Bipower variation with jumps and correlated returns
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DOI: 10.1016/j.econlet.2014.10.018
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References listed on IDEAS
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- Keshab Shrestha, 2021. "Multifractal Detrended Fluctuation Analysis of Return on Bitcoin," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 312-323, March.
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More about this item
Keywords
Bipower variation; Fractal Brownian motion; Volatility; Jump;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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