Academics
 
 
 
 
 
 
 
 
 
 
 
  Winter 2005
Autumn 2004
Spring 2004
Winter 2004
Spring 2003
Winter 2003

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Measuring the impact of jumps on multivariate price processes using multipower variation

Neil Shepard (Oxford University)
Realised bipower variation consistently estimates the quadratic variation of
the continuous component of prices. In this paper we generalise this concept
to realised multipower covariation, study its properties, illustrate its use,
derive its asymptotic distribution and use it to test for jumps in multivariate price processes.  Joint work with Ole E Barndorff-Nielsen and Almut Veraart.


 
Contact  | Sitemap  | Directories  | Maps  & Directions  | Giving to Stanford
Copyright 2004Stanford University. All Rights Reserved. Stanford, CA 94305, (650) 723-2300
Terms of Use Copyright Complaints