{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T05:45:43Z","timestamp":1791351943166,"version":"4.3.1"},"reference-count":46,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T00:00:00Z","timestamp":1250553600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,4]]},"abstract":"<jats:p>Recent research has focused on modeling asset prices by It\u00f4 semimartingales. In such a modeling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference of realized variance and realized multipower variation. The main contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realized variance and realized multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory that is applicable in practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory.<\/jats:p>","DOI":"10.1017\/s0266466609100014","type":"journal-article","created":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T08:29:54Z","timestamp":1250584194000},"page":"331-368","source":"Crossref","is-referenced-by-count":33,"title":["INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF IT\u00d4 SEMIMARTINGALES"],"prefix":"10.1017","volume":"26","author":[{"given":"Almut E.D.","family":"Veraart","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,8,18]]},"reference":[{"key":"S0266466609100014_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"S0266466609100014_ref44","doi-asserted-by":"crossref","unstructured":"Todorov V. & Bollerslev T. (2007) Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. 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