Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name: Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark
Author-Name: Neil Shephard
Author-Email: neil.shephard@economics.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford
Author-Name: Matthias Winkel
Author-Email: winkel@stats.ox.ac.uk
Author-Workplace-Name: Department of Statistics, University of Oxford, 1 South Parks Road, Oxford, OX1 3TG, U.K.
Title: 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.
X-Classification-JEL: 
Keywords: Bipower variation, Infinite activity, Multipower variation, Power variation, Quadratic variation, Semimartingales, Stochastic volatility
Length: 29 pages
Creation-Date: 2005-02-25
Number: 2005-W07
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2005/w7/winkel06.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0507