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.