https://ideas.repec.org/p/ssa/lemwps/2010-11.html
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Downloadable! This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future...
the impact ofthresholdbipowervariation
https://ideas.repec.org/a/cup/etheor/v22y2006i04p677-719_06.html
Limit Theorems For Bipower Variation In Financial Econometrics
Downloadable! In this paper we provide an asymptotic analysis of generalized bipower measures of the variation of price processes in financial economics. These...
limit theoremsbipowervariationfinancialeconometrics