Abstract
We consider the estimation of quadratic variation of It\(\hat{o}\)’s semi-martingales with jumps, which is an extension of volatility estimation in previous chapters. The SIML estimation gives reasonable estimation results of quadratic variation with jumps since it has desirable asymptotic properties such as consistency and asymptotic normality.
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Kunitomo, N., Sato, S., Kurisu, D. (2018). Estimating Quadratic Variation Under Jumps and Micro-market Noise. In: Separating Information Maximum Likelihood Method for High-Frequency Financial Data. SpringerBriefs in Statistics(). Springer, Tokyo. https://doi.org/10.1007/978-4-431-55930-6_9
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DOI: https://doi.org/10.1007/978-4-431-55930-6_9
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Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-55928-3
Online ISBN: 978-4-431-55930-6
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