Limit theorems for multipower variation in the presence of jumps

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

OFRC Working Papers Series from Oxford Financial Research Centre

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.

Date: 2005
New Economics Papers: this item is included in nep-ecm
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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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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2005fe06

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