Limit theorems for multipower variation in the presence of jumps
by Ole E. Barndorff-Nielsen, Neil Shephard and Matthias Winkel
Research Reports
Number 473 (February 2006)
In this paper we provide a systematic study of how the the probability limit and central limit theorem for realised multipower variation changes when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.
Published in Stoch. Proc. Appl. 116, 796-806.
This primarily serves as Thiele Research Reports number 5-2006, but was also published in Research Reports
