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.
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2005
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| _version_ | 1797097960181334016 |
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| author | Barndorff-Nielsen, O Shephard, N Winkel, M |
| author_facet | Barndorff-Nielsen, O Shephard, N Winkel, M |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T05:02:48Z |
| format | Working paper |
| id | oxford-uuid:d8e21b57-6d37-44eb-98f3-c3a505c3bab0 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:02:48Z |
| publishDate | 2005 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:d8e21b57-6d37-44eb-98f3-c3a505c3bab02022-03-27T08:51:56ZLimit theorems for multipower variation in the presence of jumps.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:d8e21b57-6d37-44eb-98f3-c3a505c3bab0EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2005Barndorff-Nielsen, OShephard, NWinkel, MIn 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. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N Winkel, M Limit theorems for multipower variation in the presence of jumps. |
| title | Limit theorems for multipower variation in the presence of jumps. |
| title_full | Limit theorems for multipower variation in the presence of jumps. |
| title_fullStr | Limit theorems for multipower variation in the presence of jumps. |
| title_full_unstemmed | Limit theorems for multipower variation in the presence of jumps. |
| title_short | Limit theorems for multipower variation in the presence of jumps. |
| title_sort | limit theorems for multipower variation in the presence of jumps |
| work_keys_str_mv | AT barndorffnielseno limittheoremsformultipowervariationinthepresenceofjumps AT shephardn limittheoremsformultipowervariationinthepresenceofjumps AT winkelm limittheoremsformultipowervariationinthepresenceofjumps |