Limit theorems for multipower variation in the presence of jumps
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Open Access
- 13 February 2006
- journal article
- Published by Elsevier in Stochastic Processes and their Applications
- Vol. 116 (5) , 796-806
- https://doi.org/10.1016/j.spa.2006.01.007
Abstract
No abstract availableKeywords
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- Realized power variation and stochastic volatility modelsBernoulli, 2003
- Asymptotic error distributions for the Euler method for stochastic differential equationsThe Annals of Probability, 1998