A Note on the Central Limit Theorem for Bipower Variation of General Functions

Silja Kinnebrock, Mark Podolskij and Ruhr-Universitat Bochum

No 2007-FE-03, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij and Shephard (2006), who showed the central limit theorem for even functions. We prove an infeasible central limit theorem for general functions and state some assumptions under which a feasible version of our results can be obtained. Finally, we present some examples from the literature to which our theory can be applied.

Keywords: Bipower variation; Central limit theorem; Diffusion models; High-frequency data; Semimartingale theory (search for similar items in EconPapers)
Date: 2007-02-01
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:2007-fe-03

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