Limit theorems for multipower variation in the presence of jumps

Neil Shephard, Matthias Winkel, Ole Barndorff-Nielsen, Department of Mathematical Sciences and University of Aarhus

No 2005-FE-06, Economics Series Working Papers from University of Oxford, Department of Economics

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)
Date: 2005-06-01
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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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