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This paper derives the asymptotic behavior of realized power variation of pure-jump It^o semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a...
Persistent link: https://www.econbiz.de/10008764949
depends on the small scale behavior of the driving martingale. We derive the asymptotics both in the case when the latter is …
Persistent link: https://www.econbiz.de/10008764954