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Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models

  • Jeannette H.C. Woerner
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    In the framework of general semimartingale models we provide limit theorems for variational sums including the p-th power variation, i.e. the sum of p-th absolute powers of increments of a process. This gives new insight in the use of quadratic and realised power variation as an estimate for the integrated volatility in finance. It also provides a criterion to decide from high frequency data, whether a jump component should be included in the model. Furthermore, results on the asymptotic behaviour of integrals with respect to Levy processes, estimates for integrals with respect to Levy measures and non-parametric estimation for Levy processes will be derived and viewed in the framework of variational sums.

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    Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2002mf05.

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    Date of creation: 2002
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    Handle: RePEc:sbs:wpsefe:2002mf05
    Contact details of provider: Web page: http://www.finance.ox.ac.uk
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