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.

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Year of publication:	2005-02-25
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil ; Winkel, Matthias
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Bipower variation \| Infinite activity \| Multipower variation \| Power variation \| Quadratic variation \| Semimartingales \| Stochastic volatility

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2005-W07 29 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687557