Feasible inference for realised variance in the presence of jumps

Working paper

Here we assume that the logarithmic asset price is given by a semimartingale. Jacod (2006) has derived an infeasible central limit theorem for the realised 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 realised variance. This new estimator is based on generalised versions of the realised variance and the realised bipower variation. We prove the consistency of this estimator and can derive a feasible limit theorem for the realised variance.

Authors: Veraart, A

• Publication status: Published
• Publisher: University of Oxford
• Series: Department of Economics Discussion Paper Series
• Publication date: 2007-02-01
• Paper number: 2007-FE-02
• Keywords: realised variance; semimartingale; feasible inference; bipower variation; stochastic volatility