Limit theorems for multipower variation in the presence of jumps

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Bibliografiske detaljer
Main Authors:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Format:	Working paper
Sprog:	English
Udgivet:	2005
Fag:	Economics

Lignende værker

Limit theorems for multipower variation in the presence of jumps
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Limit theorems for multipower variation in the presence of jumps.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Limit theorems for multipower variation in the presence of jumps.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Limit theorems for multipower variation in the presence of jumps
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Multipower Variation and Stochastic Volatility.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Limit theorems for bipower variations in financial econometrics
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Power and bipower variation with stochastic volatility and jumps
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Econometrics of testing for jumps in financial economics using bipower variation
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Limit theorems for bipower variations in financial econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Limit Theorems for Bipower Variation in Financial Econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Limit theorems for bipower variations in financial econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Efficient and feasible inference for the components of financial variation using blocked multipower variation
af: Shephard, N, et al.
Udgivet: (2012)

Efficient and feasible inference for the components of financial variation using blocked multipower variation.
af: Shephard, N, et al.
Udgivet: (2012)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Power and bipower variation with stochastic volatility and jumps.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Variation, jumps, market frictions and high frequency data in financial econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Variation, jumps, market frictions and high frequency data in financial econometrics
af: Shephard, N, et al.
Udgivet: (2005)

Power variation and time change
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Realised power variation and stochastic volatility models
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Estimating quadratic variation using realized variance
af: Barndorff-Nielsen, O, et al.
Udgivet: (2002)

Power variation and stochastic volatility: a review and some new results
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Normal Modified Stable Processes.
af: Shephard, N, et al.
Udgivet: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Some recent developments in stochastic volatility modelling
af: Barndorff-Nielsen, O, et al.
Udgivet: (2002)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2007)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2008)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
af: Shephard, N, et al.
Udgivet: (2008)

Power variation and time change
af: Shephard, N, et al.
Udgivet: (2006)

Power Variation and Time Change.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2002)

Estimating quadratic variation using realised volatility.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Higher order variation and stochastic volatility models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)