Limit theorems for bipower variation in financial econometrics
Probability
2007-05-23 v1
Abstract
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.
Keywords
Cite
@article{arxiv.math/0503711,
title = {Limit theorems for bipower variation in financial econometrics},
author = {Ole E. Barndorff-Nielsen and Svend E. Graversen and Jean Jacod and Neil Shephard},
journal= {arXiv preprint arXiv:math/0503711},
year = {2007}
}