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 |
Files in This Item:
File | Description | Size | Format | |
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DP_3113_SFB823_Glaser.pdf | DNB | 259.11 kB | Adobe PDF | View/Open |
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