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.

書誌詳細
主要な著者:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
フォーマット:	Working paper
言語:	English
出版事項:	2005
主題:	Economics

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