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Reference: Ole. E. Barndorff-Nielsen, Neil Shephard and Matthias Winkel, (2005). Limit theorems for multipower variation in the presence of jumps.Citable link to this page:

 

Limit theorems for multipower variation in the presence of jumps

Abstract: 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.

Publication status:PublishedPeer Review status:Not peer reviewedVersion:Author's Original

Bibliographic Details

Issue Date: 2005

Copyright Date: 2005 Identifiers

Urn: uuid:b7a0c533-abfc-41e3-a08e-07924f10650d Item Description

Type: Working/Discussion paper;

Language: en

Version: Author's OriginalKeywords: bipower variation infinite activity multipower variation power variation quadratic variation semimartingales stochastic volatilitySubjects: Economics Tiny URL: ora:2053

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Author: Ole. E. Barndorff-Nielsen - institutionUniversity of Aarhus facultyDepartment of Mathematical Sciences fundingDanish Social Scien

Source: https://ora.ox.ac.uk/objects/uuid:b7a0c533-abfc-41e3-a08e-07924f10650d



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