| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156636 | Stochastic Processes and their Applications | 2006 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ole E. Barndorff-Nielsen, Neil Shephard, Matthias Winkel,