Multipower variation from generalized difference for fractional integral processes with jumps

DOI10.1080/03610926.2016.1217019MaRDI QIDQ4598006zbMATH OpenOpenAlexFDO

Authors

Publication date 15 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1217019

zbMATH Keywords

central limit theoremhigh-frequency datamultipower variationhigher-order differencesfractional integral process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

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Cited in

(5)

• Asymptotic properties for power variations of fractional integral processes with jumps
• 带跳的分数维Brown 运动幂变差的渐近行为
• Limit theorems for multipower variation in the presence of jumps
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
• Power variation of fractional integral processes with jumps

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