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. X-Classification-JEL:
| Glavni autori: | , , |
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| Format: | Journal article |
| Jezik: | English |
| Izdano: |
2006
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| _version_ | 1826303727525429248 |
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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. X-Classification-JEL: |
| first_indexed | 2024-03-07T06:07:07Z |
| format | Journal article |
| id | oxford-uuid:ee3a3271-b17f-4eba-ac99-c96f09c79b8b |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T06:07:07Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | oxford-uuid:ee3a3271-b17f-4eba-ac99-c96f09c79b8b2022-03-27T11:31:05ZLimit theorems for multipower variation in the presence of jumpsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ee3a3271-b17f-4eba-ac99-c96f09c79b8bEnglishSymplectic Elements at Oxford2006Barndorff-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. X-Classification-JEL: |
| 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 |