A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Ole E. Barndorff–Nielsen (), Svend Erik Graversen (), Jean Jacod (), Mark Podolskij () and Neil Shephard ()
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Ole E. Barndorff–Nielsen: University of Aarhus, Dept. of Mathematical Sciences
Svend Erik Graversen: University of Aarhus, Dept. of Mathematical Sciences
Jean Jacod: Université P. et M. Curie, Laboratoire de Probabilités et Modèles Aléatoires (CNRS UMR 7599)
Mark Podolskij: Ruhr University of Bochum, Dept. of Probability and Statistics
Neil Shephard: Nuffield College
Authors registered in the RePEc Author Service: Ole E. Barndorff-Nielsen

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 33-68 from Springer

Keywords: Central Limit Theorem; Stochastic Volatility; Quadratic Variation; Polynomial Growth; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2006
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Related works:
Working Paper: A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004)
Working Paper: A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004)
Working Paper: A central limit theorem for realised power and bipower variations of continuous semimartingales (2004)
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DOI: 10.1007/978-3-540-30788-4_3

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