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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:
Published
Peer review status:
Not peer reviewed
Version:
Author's Original

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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
Role:
Author
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Institution:
University of Oxford
Oxford college:
Nuffield College
Department:
Mathematical, Physical & Life Sciences Division - Statistics
Role:
Author
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Funding agency for:
Ole. E. Barndorff-Nielsen
Publication date:
2005-01-01
URN:
uuid:b7a0c533-abfc-41e3-a08e-07924f10650d
Local pid:
ora:2053

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