Limit theorems for multipower variation in the presence of jumps
In this paper we provide a systematic study of how the probability limit and central limit theorem for realised multipower variation changes when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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| Subjects: |