Power and Multipower Variation: inference for high frequency data

In the framework of stochastic volatility models there is a wide range of applications of power, bipower and multipower variation, i.e. the sum of appropriately scaled absolute values of log-returns and neighbouring log-returns raised to a certain power. Given high frequency data we can use the concept of power and multipower variation in the context of model selection, namely to determine if the underlying process possesses a jump component, as well as estimating the integrated volatility both in classical and Levy type stochastic volatility models.

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