Department of Economics and Business Economics

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

Research output: Working paperResearch

Documents

  • rp15_57

    Final published version, 504 KB, PDF document

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].
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages21
Publication statusPublished - 7 Dec 2015
SeriesCREATES Research Papers
Number2015-57

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 95108271