Asymptotic properties of realized power variations and related functionals of semimartingales

Stochastic Processes and their Applications

Volumn 118, Issue 4, 2008, Pages 517-559

  Jacod, Jean ^a  

^a INSTITUT DE MATHÉMATIQUES DE JUSSIEU   (France)

Author keywords

Central limit theorem; Power variation; Quadratic variation; Semimartingale

Indexed keywords

ASYMPTOTIC ANALYSIS; CONVERGENCE OF NUMERICAL METHODS; NORMAL DISTRIBUTION; PROBABILITY; QUADRATIC PROGRAMMING; VARIATIONAL TECHNIQUES;

CENTRAL LIMIT THEOREM; POWER VARIATION; QUADRATIC VARIATION; SEMIMARTINGALE;

PROBABILITY DENSITY FUNCTION;

EID: 39149086045     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.05.005     Document Type: Article

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