A distributional limit theorem for the realized power variation of linear fractional stable motions
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Date
2015-09
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Abstract
In this article we deduce a distributional theorem for the realized power variation of linear fractional stable
motions. This theorem is proven by choosing the technique of subordination to reduce the proof to a Gaussian limit theorem based on Malliavin-calculus.
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Keywords
fractional Lévy processes, limit theorems, infinitely divisible distributions, power variation