Power variation of fractional integral processes with jumps

DOI10.1016/j.spl.2011.01.016zbMath1227.60072OpenAlexW2069795296MaRDI QIDQ552984

Guangying Liu, Xin Sheng Zhang

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.016

zbMATH Keywords

central limit theoremlong memoryjump processhigh frequencyrealized power variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Related Items (3)

Testing long memory based on a discretely observed process ⋮ Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps ⋮ Central limit theorems for power variation of Gaussian integral processes with jumps

Cites Work

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