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:
| Những tác giả chính: | , , |
|---|---|
| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
2006
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Limit theorems for multipower variation in the presence of jumps
Được phát hành 2006
Journal article
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Limit theorems for multipower variation in the presence of jumps.
Được phát hành 2006
Journal article
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