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Limit theorems for multipower variation in the presence of jumps

Publikation: Working paperForskning


  • Institut for Matematiske Fag
  • T.N. Thiele Centre
In this paper we provide a systematic study of how the 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.
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider13
StatusUdgivet - 5 feb. 2006

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