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The Speed of Convergence of the Threshold Version of Bipower Variation for Semimartingales
Xiao Xiaoyong, Yin Hongwei
Department of Mathematics, Nanchang University
In this paper, we consider the speed of convergence of the threshold
version of bipower variation for a semimartingale, which is driven by a standard Brownian
motion and a pure jump Levy process with possibly infinite activity of the small jumps.