Limit theorems for multipower variation in the presence of jumps

In this paper we provide a systematic study of how the probability limit and central limit theorem for realised multipower variation changes when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

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Year of publication:	2006
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil ; Winkel, Matthias
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 5, p. 796-806
Publisher:	Elsevier
Keywords:	Bipower variation Infinite activity Multipower variation Power variation Quadratic variation Semimartingales Stochastic volatility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875227