IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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New York, USA: Cambridge University Press
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English
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New York, USA: Cambridge University Press
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When the covariance between the risk factors of asset prices is due to both Brownian and jump components, the realized covariation (RC) approaches the sum of the integrated covariation (IC) with the sum of the co-jumps, as the observation frequency increases to infinity, in a finite and fixed time horizon. In this paper the two components are consi...
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Full title
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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TN_cdi_proquest_miscellaneous_1023193756
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1023193756
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ISSN
0266-4666
E-ISSN
1469-4360
DOI
10.1017/S0266466611000326
