Limit theorems for bipower variation in financial econometrics

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.

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Year of publication:	2005
Authors:	Barndorff-Nielsen, Ole E. ; Graversen, Sven Erik ; Jacod, Jean ; Shephard, Neil
Institutions:	Finance Research Centre, Oxford University

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Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005212064