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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- The full-text of this article is not available in ORA. Citation: Barndorff-Nielsen, O. E., Shephard, N. & Winkel, M. (2006). 'Limit theorems for multipower variation in the presence of jumps', Stochastic Processes and their Applications, 116(5), 796-806. [Available at www.elsevier.com/locate/spa].
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