Glaser, Sven2013-09-302013-09-302013-09-30http://hdl.handle.net/2003/3062610.17877/DE290R-10955We 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.en610preprint