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.

Xehetasun bibliografikoak
Egile Nagusiak:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Formatua:	Working paper
Hizkuntza:	English
Argitaratua:	2005
Gaiak:	Economics

Antzeko izenburuak

Limit theorems for multipower variation in the presence of jumps
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Limit theorems for multipower variation in the presence of jumps.
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