Power and bipower variation with stochastic volatility and jumps

@inproceedings{BarndorffNielsen2003PowerAB,
  title={Power and bipower variation with stochastic volatility and jumps},
  author={Ole E. Barndorff-Nielsen and Neil Shephard},
  year={2003}
}
This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps. We show realised bipower variation estimates integrated variance in SV models --- thus providing a model free and consistent alternative to realised variance. Its robustness property means that if we have an SV plus infrequent jumps process then the difference between realised variance and realised bipower variation estimates the quadratic… 

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