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