Limit theorems for multipower variation in the presence of jumps

Ole Barndorff-Nielsen, Neil Shephard () and Matthias Winkel ()
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Matthias Winkel: Department of Statistics, University of Oxford, 1 South Parks Road, Oxford, OX1 3TG, U.K.

No 2005-W07, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: 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.

Keywords: Bipower variation; Infinite activity; Multipower variation; Power variation; Quadratic variation; Semimartingales; Stochastic volatility (search for similar items in EconPapers)
Pages: 29 pages
Date: 2005-02-25
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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http://www.nuffield.ox.ac.uk/economics/papers/2005/w7/winkel06.pdf (application/pdf)

Related works:
Journal Article: Limit theorems for multipower variation in the presence of jumps (2006)
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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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0507

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