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
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
Journal title :
Stochastic Processes and their Applications
