Limit theorems for bipower variation in financial econometrics

Ole Barndorff-Nielsen, Sven Erik Graversen, Jean Jacod and Neil Shephard ()
Additional contact information
Sven Erik Graversen: Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark
Jean Jacod: Laboratoire de Probabilités et Modéles Aléatoires (CNRS UMR 7599), Université Pierre et Marie Curie, 4 Place Jussieu, 75252 Paris Cedex 05, France

No 2005-W06, Economics Papers from Economics Group, Nuffield College, University of Oxford

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: Bipower variation; Power variation; Quadratic variation; Semimartingales; Stochastic volatility (search for similar items in EconPapers)
Pages: 43 pages
Date: 2005-10-27
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (23)

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Related works:
Journal Article: LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (2006)
Working Paper: Limit theorems for bipower variation in financial econometrics (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0506

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