A law of large numbers for the power variation of fractional Lévy processes
| dc.contributor.author | Glaser, Sven | |
| dc.date.accessioned | 2013-09-30T15:24:46Z | |
| dc.date.available | 2013-09-30T15:24:46Z | |
| dc.date.issued | 2013-09-30 | |
| 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.identifier.uri | http://hdl.handle.net/2003/30626 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-10955 | |
| dc.language.iso | en | |
| dc.subject.ddc | 610 | |
| dc.title | A law of large numbers for the power variation of fractional Lévy processes | en |
| dc.type | Text | de |
| dc.type.publicationtype | preprint | en |
| dcterms.accessRights | open access |