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Feasible inference for realised variance in the presence of jumps

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  • Almut Elisabeth Dorothea Veraart

Abstract

Here we assume that the logarithmic asset price is given by a semimartingle. Jacod (2006) has derived an infeasible central limit theorem for the realized variance in such a general framework. However, here we focus on constructing a feasible limit theorem. We propose a new estimator for the asymptotic variance of the realized variance. This new estimator is based on generalized versions of the realized variance and the realized bipower variation. We prove the consistency of this estimator and can derive a feasible limit theorem for the realized variance.

Suggested Citation

  • Almut Elisabeth Dorothea Veraart, 2007. "Feasible inference for realised variance in the presence of jumps," OFRC Working Papers Series 2007fe02, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:2007fe02
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2007fe02.pdf
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    Cited by:

    1. Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series 523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.

    More about this item

    Keywords

    Bipower variation; feasible inference; realized variance; semimartingale; stochastic volatility;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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