Volatility Estimation and Jump Testing via Realized Information Variation
提出一种利用高频OHLC数据构造的跳跃稳健波动率估计量（RIV和RIPV），其效率更高且跳跃收敛速度更快，并扩展至四次方及高阶波动估计与跳跃检验。
We put forward a new method to construct jump‐robust estimators of integrated volatility, namely realized information variation (RIV) and realized information power variation (RIPV). The ‘information’ here refers to the difference between two‐grid of ranges in high‐frequency intervals, which preserves continuous variation and eliminates jump variation asymptotically. We show that such kind of estimators have several superior statistical properties, i.e., the estimators are generally more efficient with sufficiently using the opening, high, low, closing (OHLC) data in high‐frequency intervals, and have faster jump convergence rate due to a new type of construction. For example, the RIV is much more efficient than the estimators that only use closing prices or ranges, and the RIPV has faster jump convergence rate at O p (1/ n ), while the other (multi)power‐based estimators are usually . We also extend our results to integrated quarticity and higher‐order variation estimation, and then propose the corresponding jump testing method. Simulation studies provide extensive evidence on the finite sample properties of our estimators and tests, comparing with alternative prevalent methods. Empirical results further demonstrate the practical relevance and advantages of our method.