On critical cases in limit theory for stationary increments Lévy driven moving averages

Andreas Basse-O'Connor () and Mark Podolskij ()
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Andreas Basse-O'Connor: Department of Mathematics, Postal: Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Mark Podolskij: Department of Mathematics and CREATES, Postal: Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper we present some limit theorems for power variation of stationary increments Lévy driven moving averages in the setting of critical regimes. In [5] the authors derived first and second order asymptotic results for k-th order increments of stationary increments Lévy driven moving averages. The limit theory heavily depends on the interplay between the given order of the increments, the considered power, the Blumenthal-Getoor index of the driving pure jump Lévy process L and the behavior of the kernel function g at 0. In this work we will study the critical cases, which were not covered in the original work [5].

Keywords: Power variation; limit theorems; moving averages; fractional processes; stable convergence; high frequency data (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 21
Date: 2015-12-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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