Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202)
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scientific article; zbMATH DE number 5886810
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| English | Limit theorems for power variations of pure-jump processes with application to activity estima\-tion |
scientific article; zbMATH DE number 5886810 |
Statements
Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (English)
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11 May 2011
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activity index
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Blumenthal-Getoor index
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central limit theorem
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Itô semimartingale
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high-frequency data
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jumps
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realized power variation
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0.8939535021781921
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0.863102912902832
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0.8585993051528931
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0.8444116115570068
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0.835260808467865
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