Limit theorems for multipower variation in the presence of jumps
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference13 articles.
1. O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, M. Podolskij, N. Shephard, A central limit theorem for realised power and bipower variations of continuous semimartingales, in: Y. Kabanov, R. Lipster, J. Stoyanov (Eds.), From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, Springer, 2006 (in press)
2. O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, N. Shephard, Limit theorems for realised bipower variation in econometrics, Econometric Theory 22 (2006) (in press)
3. Realised power variation and stochastic volatility;Barndorff-Nielsen;Bernoulli,2003
4. Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics;Barndorff-Nielsen;Econometrica,2004
5. Power and bipower variation with stochastic volatility and jumps (with discussion);Barndorff-Nielsen;Journal of Financial Econometrics,2004
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