This report presents limit theorems of realized power variation for fractional integral processes with jumps observed in high *** prove the convergence in probability for properly normalized realized power variation a...
This report presents limit theorems of realized power variation for fractional integral processes with jumps observed in high *** prove the convergence in probability for properly normalized realized power variation and some associated stable central limit *** in probability and central limit theorems of realized threshold bipower variation for fractional integral processes with jumps are also *** results provide new statistical tools to analyze and test the long memory effect in high frequency situation.
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