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中文摘要：
以二次幂变差的测量为理论基础,研究了银行间回购利率的跳跃风险。将已实现波动率分解为连续样本路径方差和离散跳跃方差。跳跃方差序列的统计特征表明,银行间短期利率的主要价格发现形式是跳跃。以此为基础,分析了银行间回购交易的动态行为。结果发现,跳跃行为在特征和成因上表现出了较之国外更为独特的特征。
英文摘要：
Based on theoretical results for bi-power variation measures,the jump behavior of realized volatility for interbank repo interest rate is examined.Realized volatility is divided into two parts： the continuous sample path variation and the discontinuous jump variation.The statistical feature of jump variation is studied and the result indicates that jump component of quadratic variation is the most important determinant for realized volatility.Based on this,the conclusion shows that there are more unique characteristics of jump and realized volatility than foreign markets and the pattern of jump of are contributed to a variety of factors.
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