Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps

DOI10.1016/j.jspi.2013.02.002zbMath1285.60020OpenAlexW1998570526MaRDI QIDQ389251

Guangying Liu, Zhengyuan Wei, Xin Sheng Zhang

Publication date: 20 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.02.002

zbMATH Keywords

central limit theoremsemimartingalerealized multipower variationhigh frequencyGaussian integral processrealized threshold bipower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

Related Items (5)

Testing long memory based on a discretely observed process ⋮ Trading-flow assisted estimation of the jump activity index ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Jump-detection and curve estimation methods for discontinuous regression functions based on the piecewise B-spline function ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise

Uses Software

• longmemo

Cites Work

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