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:	2005-10-27
Authors:	Barndorff-Nielsen, Ole E. ; Graversen, Sven Erik ; Jacod, Jean ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Bipower variation \| Power variation \| Quadratic variation \| Semimartingales \| Stochastic volatility

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2005-W06 43 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730377