Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index

DOI10.5556/j.tkjm.52.2021.3497zbMath1493.62576OpenAlexW3188976666MaRDI QIDQ5029310

O. O. Ugbebor, Mabel Eruore Adeosun

Publication date: 11 February 2022

Published in: Tamkang Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5556/j.tkjm.52.2021.3497

zbMATH Keywords

convergencejumpsintegrated variancebipower variationcontinuous semi-martingale

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Functional limit theorems; invariance principles (60F17)

Cites Work

• A note on the central limit theorem for bipower variation of general functions
• Testing for jumps in a discretely observed process
• Realized power variation and stochastic volatility models
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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