Realized multi-power variation process for jump detection in the Nigerian all share index

DOI10.5556/J.TKJM.52.2021.3497MaRDI QIDQ5029310zbMATH OpenOpenAlexFDO

Authors Mabel Eruore Adeosun, O. O. Ugbebor

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

bipower variationcontinuous semi-martingaleconvergenceintegrated variancejumps

Mathematics Subject Classification ID

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

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Cites work

• A central limit theorem for realised power and bipower variation of continuous semimartingales
• A note on the central limit theorem for bipower variation of general functions
• Asymptotic properties of realized power variations and related functionals of semimartingales
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 5181830 (Why is no real title available?)
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Limit theorems for multipower variation in the presence of jumps
• Realized power variation and stochastic volatility models
• Testing for jumps in a discretely observed process

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