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Limit theorems for multipower variation in the presence of jumps |
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| Authors: | Ole E Barndorff-Nielsen Neil Shephard Matthias Winkel |
| Institution: | 1. Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark;2. Nuffield College, University of Oxford, New Road, Oxford OX1 1NF, UK;3. Department of Statistics, University of Oxford, 1 South Parks Road, Oxford OX1 3TG, UK |
| 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. |
| Keywords: | Bipower variation Infinite activity Multipower variation Power variation Quadratic variation Semimartingales Stochastic volatility |
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