Limit theorems for multipower variation in the presence of jumps

Limit theorems for multipower variation in the presence of jumps

Εμφάνιση άλλων εκδόσεων (4)

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:

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Μορφή:	Journal article
Γλώσσα:	English
Έκδοση:	2006

Παρόμοια τεκμήρια

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