Limit theorems for bipower variation of semimartingales

Mathias Vetter

Stochastic Processes and their Applications, 2010, vol. 120, issue 1, 22-38

Abstract: This paper presents limit theorems for certain functionals of semimartingales observed at high frequency. In particular, we extend results from Jacod (2008) [5] to the case of bipower variation, showing under standard assumptions that one obtains a limiting variable, which is in general different from the case of a continuous semimartingale. In a second step a truncated version of bipower variation is constructed, which has a similar asymptotic behaviour as standard bipower variation for a continuous semimartingale and thus provides a feasible central limit theorem for the estimation of the integrated volatility even when the semimartingale exhibits jumps.

Keywords: Bipower; variation; Central; limit; theorem; High-frequency; observations; Semimartingale; Stable; convergence (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (18)

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