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Barndorff-Nielsen et al., 2004 - Google Patents

Measuring the impact of jumps in multivariate price processes using bipower covariation

Barndorff-Nielsen et al., 2004

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Document ID
7215086747413838505
Author
Barndorff-Nielsen O
Shephard N
Publication year

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Realised bipower variation consistently estimates the quadratic variation of the continuous component of prices. In this paper we generalise this concept to realised bipower covariation, study its properties, illustrate its use, derive its asymptotic distribution and use it …
Continue reading at public.econ.duke.edu (PDF) (other versions)

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    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
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