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
eldorado.dnb.deposit	false

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