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Limit theorems for multipower variation in the presence of jumps

Author

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  • Ole E. Barndorff-Nielsen
  • Neil Shephard
  • Matthias Winkel

Abstract

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:2005fe06
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