A note on the central limit theorem for bipower variation of general functions

Silja Kinnebrock and Mark Podolskij ()

Stochastic Processes and their Applications, 2008, vol. 118, issue 6, 1056-1070

Abstract: In this paper we present a central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in [O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, M. Podolskij, N. Shephard, A central limit theorem for realised power and bipower variations of continuous semimartingales, in: From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, Springer, 2006], where the central limit theorem was shown 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: 2008
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Citations: View citations in EconPapers (29)

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Working Paper: A Note on the Central Limit Theorem for Bipower Variation of General Functions (2007)
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