Journal article
Limit theorems for multipower variation in the presence of jumps.
- Abstract:
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Funding
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Stochastic Processes and their Applications Journal website
- Volume:
- 116
- Issue:
- 5
- Pages:
- 796 - 806
- Publication date:
- 2006-01-01
- DOI:
- ISSN:
-
0304-4149
Item Description
- Language:
- English
- UUID:
-
uuid:ca311faf-44ef-49ac-a6f1-eb770694d023
- Local pid:
- oai:economics.ouls.ox.ac.uk:13772
- Deposit date:
- 2011-08-15
Related Items
Terms of use
- Copyright holder:
- Elsevier BV
- Copyright date:
- 2006
- Notes:
- © 2006 Elsevier B.V. All rights reserved. This is an Open Archive article that may be used according to the terms at http://www.elsevier.com/about/open-access/oa-and-elsevier/oa-license-policy#open-archive.
- Licence:
- Other
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