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Limit theorems for multipower variation in the presence of jumps

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.
Publication status:
Published
Peer review status:
Not peer reviewed

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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author
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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Oxford college:
Nuffield College
Role:
Author
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Funding agency for:
Barndorff-Nielsen, O
Publication date:
2005-01-01
Language:
English
Keywords:
Subjects:
UUID:
uuid:b7a0c533-abfc-41e3-a08e-07924f10650d
Local pid:
ora:2053
Deposit date:
2008-06-13

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