On critical cases in limit theory for stationary increments Lévy driven moving averages

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In this paper we present some limit theorems for power variation of stationary increments Lévy driven moving averages in the setting of critical regimes. In [5] the authors derived first and second order asymptotic results for k-th order increments of stationary increments Lévy driven moving averages. The limit theory heavily depends on the interplay between the given order of the increments, the considered power, the Blumenthal-Getoor index of the driving pure jump Lévy process L and the behavior of the kernel function g at 0. In this work we will study the critical cases, which were not covered in the original work [5].
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider21
StatusUdgivet - 7 dec. 2015
SerietitelCREATES Research Papers
Nummer2015-57

    Forskningsområder

  • Power variation, limit theorems, moving averages, fractional processes, stable convergence, high frequency data

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