Limit theorems for multipower variation in the presence of jumps

Limit theorems for multipower variation in the presence of jumps

Бусад хувилбаруудыг харуулах (4)

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.

Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Формат:	Working paper
Хэл сонгох:	English
Хэвлэсэн:	2005
Нөхцлүүд:	Economics

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