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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| _version_ | 1797061830980403200 |
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| author | Barndorff-Nielsen, O Shephard, N Winkel, M |
| author_facet | Barndorff-Nielsen, O Shephard, N Winkel, M |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T20:36:46Z |
| format | Journal article |
| id | oxford-uuid:32e9e267-68c7-4fe5-b37d-56c1250aab61 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T20:36:46Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | oxford-uuid:32e9e267-68c7-4fe5-b37d-56c1250aab612022-03-26T13:16:57ZLimit theorems for multipower variation in the presence of jumpsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:32e9e267-68c7-4fe5-b37d-56c1250aab61EconomicsEnglishOxford University Research Archive - Valet2006Barndorff-Nielsen, OShephard, NWinkel, MIn 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. |
| spellingShingle | Economics Barndorff-Nielsen, O Shephard, N Winkel, M Limit theorems for multipower variation in the presence of jumps |
| title | Limit theorems for multipower variation in the presence of jumps |
| title_full | Limit theorems for multipower variation in the presence of jumps |
| title_fullStr | Limit theorems for multipower variation in the presence of jumps |
| title_full_unstemmed | Limit theorems for multipower variation in the presence of jumps |
| title_short | Limit theorems for multipower variation in the presence of jumps |
| title_sort | limit theorems for multipower variation in the presence of jumps |
| topic | Economics |
| work_keys_str_mv | AT barndorffnielseno limittheoremsformultipowervariationinthepresenceofjumps AT shephardn limittheoremsformultipowervariationinthepresenceofjumps AT winkelm limittheoremsformultipowervariationinthepresenceofjumps |