@techreport{Christensen2006Range,
abstract = {This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the test is well-sized and more powerful than a return-based t-statistic for sampling frequencies normally used in empirical work. Applied to equity data, we show that the intensity of the jump process is not as high as previously reported.},
author = {Kim Christensen and Mark Podolskij},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C10; C80; C22; 330; Bipower Variation; Finite-Activity Counting Processes; Jump Detection; Quadratic Variation; Range-Based Bipower Variation; Semimartingale Theory},
language = {eng},
number = {2006,37},
title = {Range-Based Estimation of Quadratic Variation},
type = {Technical Report / Universit\"{a}t Dortmund, SFB 475 Komplexit\"{a}tsreduktion in Multivariaten Datenstrukturen},
url = {http://hdl.handle.net/10419/22681},
year = {2006}
}
