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• W2521251535 abstract "ABSTRACTThis article presents limit theorems of the multipower variation based on a generalized difference for the fractional integral process with jumps observed in high frequency. In particular, we obtain the large number laws for threshold multipower variation and multipower variation and the associated central limit theorems. The limit theorems are applied to estimate Hurst parameter, and the consistence and asymptotic distribution of the estimator are established. These results will provide some new statistical tools to analyze long-memory effect in high-frequency situation." @default.
• W2521251535 created "2016-09-30" @default.
• W2521251535 creator A5032012513 @default.
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• W2521251535 date "2016-09-20" @default.
• W2521251535 modified "2023-09-27" @default.
• W2521251535 title "Multipower variation from generalized difference for fractional integral processes with jumps" @default.
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• W2521251535 doi "https://doi.org/10.1080/03610926.2016.1217019" @default.
• W2521251535 hasPublicationYear "2016" @default.
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