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.

书目详细资料
Main Authors:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
格式:	Working paper
语言:	English
出版:	2005
主题:	Economics

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