A distributional limit theorem for the realized power variation of linear fractional stable motions
| dc.contributor.author | Glaser, Sven | |
| dc.date.accessioned | 2015-10-07T12:55:55Z | |
| dc.date.available | 2015-10-07T12:55:55Z | |
| dc.date.issued | 2015-09 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/34261 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16338 | |
| dc.language.iso | en | |
| dc.subject | fractional Lévy processes | en |
| dc.subject | limit theorems | en |
| dc.subject | infinitely divisible distributions | en |
| dc.subject | power variation | en |
| dc.subject.ddc | 610 | |
| dc.title | A distributional limit theorem for the realized power variation of linear fractional stable motions | en |
| dc.type | Text | de |
| dc.type.publicationtype | preprint | en |
| dcterms.accessRights | open access |