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09-110/4 - Spot Variance Path Estimation and its Application to High Frequency Jump Testing


  • Authors
    Charles S. Bos, VU University Amsterdam; Pawel Janus, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
  • Publication date
    December 4, 2009
  • Keywords
    high frequency, intraday periodicity, jump testing, leverage effect, microstructure noise, pre-averaged bipower variation, spot variance
  • JEL
    C12, C13, C22, G10, G14