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.

Bibliografski detalji
Glavni autori:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Format:	Working paper
Jezik:	English
Izdano:	2005
Teme:	Economics

Slični predmeti

Limit theorems for multipower variation in the presence of jumps
od: Barndorff-Nielsen, O, i dr.
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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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Limit theorems for multipower variation in the presence of jumps
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Multipower Variation and Stochastic Volatility.
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Limit theorems for bipower variations in financial econometrics
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Power and bipower variation with stochastic volatility and jumps
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Econometrics of testing for jumps in financial economics using bipower variation
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Limit theorems for bipower variations in financial econometrics.
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Limit Theorems for Bipower Variation in Financial Econometrics.
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Limit theorems for bipower variations in financial econometrics.
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
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Efficient and feasible inference for the components of financial variation using blocked multipower variation.
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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Power and bipower variation with stochastic volatility and jumps.
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Power and Bipower Variation with Stochastic Volatility and Jumps.
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Econometrics of testing for jumps in financial economics using bipower variation.
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Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
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Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise.
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
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Power variation and time change
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Power Variation and Time Change.
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Estimating quadratic variation using realised volatility.
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