Power and bipower variation with stochastic volatility and jumps
Publication information:
Barndorff-Nielsen, Ole E., and Neil Shephard. 2004. “Power and Bipower Variation With Stochastic Volatility and Jumps”. (with Discussion) Journal of Financial Econometrics 2: 1-48.
Notes
Reprinted in "Financial Risk Measurement and Management" (editor Frank X. Diebold), in Edward Elgar Publishers, 2012.