Limit theorems for multipower variation in the presence of jumps
Ole Barndorff-Nielsen (),
Neil Shephard () and
OFRC Working Papers Series from Oxford Financial Research Centre
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.
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2005fe06
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