Limit theorems for multipower variation in the presence of jumps

Journal article

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. X-Classification-JEL:

Authors: Barndorff-Nielsen, O; Shephard, N; Winkel, M

• Publication status: Published
• Journal: STOCHASTIC PROCESSES AND THEIR APPLICATIONS
• Volume: 116
• Issue: 5
• Pages: 796-806
• Publication date: 2006-05-01
• DOI: 10.1016/j.spa.2006.01.007
• ISSN: 0304-4149
• Language: English
• Keywords: Infinite activity; Stochastic volatility; Multipower variation; Semimartingales; Bipower variation; Quadratic variation; Power variation