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.
URI: http://hdl.handle.net/2003/30626
http://dx.doi.org/10.17877/DE290R-10955
Issue Date: 2013-09-30
Appears in Collections:Preprints der Fakultät für Mathematik

Files in This Item:
File Description SizeFormat 
mathematicalPreprint-2013-11.pdf376.12 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.