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Limit theorems for multipower variation in the presence of jumps

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References

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2010Realized jumps on financial markets and predicting credit spreads220 cited
2009Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns211 cited
2014Fact or friction: Jumps at ultra high frequency208 cited
2009

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Jumps and betas: A new framework for disentangling and estimating systematic risks

146 cited

2012Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests140 cited

2010Detecting jumps from Lévy jump diffusion processes☆135 cited

2015Large-Dimensional Factor Modeling Based on High-Frequency Observations132 cited

2015Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets126 cited

2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation125 cited

2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence111 cited

2008Estimation of continuous-time stochastic volatility models with jumps using high-frequency data109 cited

2010Realised quantile-based estimation of the integrated variance107 cited

2009Activity signature functions for high-frequency data analysis99 cited

2011Nonparametric tests for pathwise properties of semimartingales94 cited

2009Brownian semistationary processes and volatility/intermittency93 cited

2009Statistics and high frequency data90 cited