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

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.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/2003/30569
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10749
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

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