Search for dissertations about: "Bi-power variation"

Found 1 swedish dissertation containing the words Bi-power variation.

2. 1. Essays on Realized Volatility and Jumps

   Author : Marcus Larsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

   Abstract : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. READ MORE