Limit theorems for multipower variation in the presence of jumps

被引：115

作者：

Barndorff-Nielsen, OE

Shephard, N

Winkel, M

机构：

[1] Univ Oxford, Nuffield Coll, Oxford OX1 1NF, England

[2] Aarhus Univ, Dept Math Sci, DK-8000 Aarhus C, Denmark

[3] Univ Oxford, Dept Stat, Oxford OX1 3TG, England

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 05期

基金：

英国经济与社会研究理事会;

关键词：

bipower variation; infinite activity; multipower variation; power variation; quadratic variation; semimartingales; stochastic volatility;

D O I：

10.1016/j.spa.2006.01.007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we provide a systematic study of how the probability limit and central limit theorem for realised multipower variation changes when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：796 / 806

页数：11

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