Title of article
Limit theorems for multipower variation in the presence of jumps
Author/Authors
Barndorff-Nielsen، نويسنده , , Ole E. and Shephard، نويسنده , , Neil and Winkel، نويسنده , , Matthias، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
11
From page
796
To page
806
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.
Keywords
Bipower variation , Power variation , Infinite activity , Quadratic variation , Multipower variation , stochastic volatility , Semimartingales
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577789
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