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:

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Barndorff-Nielsen, O, Shephard, N, Winkel, M
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2006

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

Foilsithe / Cruthaithe 2006

Journal article

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

Foilsithe / Cruthaithe 2006

Journal article

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

Foilsithe / Cruthaithe 2005

Working paper

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

Foilsithe / Cruthaithe 2005

Working paper

Limit theorems for multipower variation in the presence of jumps

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

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

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

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

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