Authors: Glaser, Sven
Title: A law of large numbers for the power variation of fractional Lévy processes
Language (ISO): en
Abstract: We prove a law of large numbers for the power variation of an integrated fractional process in a pure jump model. This yields consistency of an estimator for the integrated volatility where we are no longer restricted to a Gaussian model.
Subject Headings: estimation of the integrated volatility
fractional Lévy processes
infinitely divisible distributions
limit theorems
power variation
URI: http://hdl.handle.net/2003/30569
http://dx.doi.org/10.17877/DE290R-10749
Issue Date: 2013-08-30
Appears in Collections:Sonderforschungsbereich (SFB) 823

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