Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2013
to the ambit field, when the lattice spacing tends to zero. This law of large numbers holds also for thinned power … noise. Our first result is a law of large numbers for such power variations. Under a constraint on the memory of the ambit … field, normalized power variations are shown to converge to certain integral functionals of the volatility field associated …
