Limit theorems for multipower variation in the presence of jumps

DOI10.1016/j.spa.2006.01.007zbMath1096.60022OpenAlexW2140540503MaRDI QIDQ2495383

Matthias Winkel, Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 30 June 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:ca311faf-44ef-49ac-a6f1-eb770694d023

zbMATH Keywords

infinity activity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

Related Items

Testing long memory based on a discretely observed process, Testing for jumps when asset prices are observed with noise -- a ``swap variance approach, Estimation of continuous-time stochastic volatility models with jumps using high-frequency data, A two-stage realized volatility approach to estimation of diffusion processes with discrete data, Activity signature functions for high-frequency data analysis, Limit theorems for bipower variation of semimartingales, Estimation of the realized (co-)volatility vector: large deviations approach, Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps, Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps, Asymptotic lower bounds in estimating jumps, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process, Statistical inferences for price staleness, Volatility measurement with pockets of extreme return persistence, Uniform predictive inference for factor models with instrumental and idiosyncratic betas, Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices, Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes, How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?, Testing for Jump Spillovers Without Testing for Jumps, Parametric estimation for discretely observed stochastic processes with jumps, Nonparametric tests for pathwise properties of semimartingales, Optimally thresholded realized power variations for Lévy jump diffusion models, Multipower variation for Brownian semistationary processes, Fourier transform methods for pathwise covariance estimation in the presence of jumps, Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process, Estimating fast mean-reverting jumps in electricity market models, Volatility regressions with fat tails, Large deviations of realized volatility, Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps, Heterogenous market hypothesis evaluation using multipower variation volatility, Optimum thresholding using mean and conditional mean squared error, INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation, Testing for jumps and jump intensity path dependence, Asymptotic properties of realized power variations and related functionals of semimartingales, Jump-robust volatility estimation using nearest neighbor truncation, Subsampling high frequency data, An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps, Limit theorems for power variations of pure-jump processes with application to activity estima\-tion, Limit theorems in the Fourier transform method for the estimation of multivariate volatility, Estimation for Lévy processes from high frequency data within a long time interval, Asymptotic results for time-changed Lévy processes sampled at hitting times, Power variation of fractional integral processes with jumps, Asymptotic properties of power variations of Lévy processes, Inference in Lévy-type stochastic volatility models, Estimation of the characteristics of a Lévy process, Nonparametric estimation of jump diffusion models, Efficient estimation of integrated volatility in presence of infinite variation jumps, Testing for jumps in a discretely observed process, Jumps and betas: a new framework for disentangling and estimating systematic risks, Realised quantile-based estimation of the integrated variance, Threshold bipower variation and the impact of jumps on volatility forecasting, The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets, Threshold estimation of Markov models with jumps and interest rate modeling, Realized jumps on financial markets and predicting credit spreads, A reduced form framework for modeling volatility of speculative prices based on realized variation measures, Estimation of volatility in a high-frequency setting: a short review, Estimation for high-frequency data under parametric market microstructure noise, Bipower Variation for Gaussian Processes with Stationary Increments, Asymptotic Inference for Jump Diffusions with State-Dependent Intensity, Power variation for Gaussian processes with stationary increments, A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY, Bootstrapping High-Frequency Jump Tests, Volatility Estimation and Jump Testing via Realized Information Variation, Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes, Volatility Estimation Based on High-Frequency Data, Second-order properties of thresholded realized power variations of FJA additive processes, ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS, On the estimation of integrated volatility in the presence of jumps and microstructure noise, Estimation of Correlation for Continuous Semimartingales, Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index

Cites Work