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.

Bibliografske podrobnosti
Main Authors:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Format:	Working paper
Jezik:	English
Izdano:	2005
Teme:	Economics

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