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.
| Հիմնական հեղինակներ: | , , |
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| Ձևաչափ: | Working paper |
| Լեզու: | English |
| Հրապարակվել է: |
2005
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| Խորագրեր: |
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Limit theorems for multipower variation in the presence of jumps.
Հրապարակվել է 2006
Journal article
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