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.
| 主要な著者: | , , |
|---|---|
| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2006
|
| 主題: |
Search Result 1
Search Result 2
Search Result 3
Search Result 4
