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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- Files:
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(Preview, pdf, 218.2KB, Terms of use)
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- Publisher copy:
- 10.1016/j.spa.2006.01.007
Authors
- Publisher:
- Elsevier
- Journal:
- Stochastic Processes and their Applications More from this journal
- Volume:
- 116
- Issue:
- 5
- Pages:
- 796 - 806
- Publication date:
- 2006-01-01
- DOI:
- ISSN:
-
0304-4149
- Language:
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English
- UUID:
-
uuid:ca311faf-44ef-49ac-a6f1-eb770694d023
- Local pid:
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oai:economics.ouls.ox.ac.uk:13772
- Deposit date:
-
2011-08-15
- ARK identifier:
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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