Estimating Quadratic Variation Under Jumps and Micro-market Noise

  • Naoto Kunitomo
  • Seisho Sato
  • Daisuke Kurisu
Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)


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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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.School of Political Science and EconomicsMeiji UniversityTokyoJapan
  2. 2.Graduate School of EconomicsThe University of TokyoBunkyo-kuJapan
  3. 3.School of EngeneeringTokyo Institute of TechnologyTokyoJapan

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