Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps

DOI10.1108/S0731-9053(2011)000027B006zbMath1443.62253OpenAlexW1550039373MaRDI QIDQ3295718

Norman R. Swanson, Diep Duong

Publication date: 10 July 2020

Published in: Missing Data Methods: Time-Series Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2011)000027b006

zbMATH Keywords

jumpsrealized volatilityItô semimartingaletruncated power variationmultipower variationinfinite activity jumps

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalizations of martingales (60G48) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Missing data (62D10) Jump processes on general state spaces (60J76)

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