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.

Bibliografische gegevens
Hoofdauteurs:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Formaat:	Working paper
Taal:	English
Gepubliceerd in:	2005
Onderwerpen:	Economics

Limit theorems for multipower variation in the presence of jumps door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Gepubliceerd in 2006

Journal article

Limit theorems for multipower variation in the presence of jumps. door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Gepubliceerd in 2006

Journal article

Limit theorems for multipower variation in the presence of jumps door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Gepubliceerd in 2006

Journal article

Limit theorems for multipower variation in the presence of jumps. door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Gepubliceerd in 2005

Working paper

Limit theorems for multipower variation in the presence of jumps

Limit theorems for multipower variation in the presence of jumps door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Limit theorems for multipower variation in the presence of jumps. door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Limit theorems for multipower variation in the presence of jumps door Barndorff-Nielsen, O, Shephard, N, Winkel, M

Limit theorems for multipower variation in the presence of jumps. door Barndorff-Nielsen, O, Shephard, N, Winkel, M

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