Limit theorems for multipower variation in the presence of jumps

Ole Barndorff-Nielsen, Neil Shephard () and Matthias Winkel

Stochastic Processes and their Applications, 2006, vol. 116, issue 5, 796-806

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; Infinite; activity; Multipower; variation; Power; variation; Quadratic; variation; Semimartingales; Stochastic; volatility (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (106)

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Related works:
Working Paper: Limit theorems for multipower variation in the presence of jumps (2005)
Working Paper: Limit theorems for multipower variation in the presence of jumps (2005)
Working Paper: Limit theorems for multipower variation in the presence of jumps (2005)
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