A law of large numbers for the power variation of fractional Lévy processes

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DC Field	Value	Language
dc.contributor.author	Glaser, Sven	-
dc.date.accessioned	2013-08-30T15:07:42Z	-
dc.date.available	2013-08-30T15:07:42Z	-
dc.date.issued	2013-08-30	-
dc.identifier.uri	http://hdl.handle.net/2003/30569	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10749	-
dc.description.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.	en
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;31/2013	-
dc.subject	estimation of the integrated volatility	en
dc.subject	fractional Lévy processes	en
dc.subject	infinitely divisible distributions	en
dc.subject	limit theorems	en
dc.subject	power variation	en
dc.subject.ddc	310	-
dc.subject.ddc	330	-
dc.subject.ddc	620	-
dc.title	A law of large numbers for the power variation of fractional Lévy processes	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 823

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