Limit theorems for bipower variation in financial econometrics

Neil Shephard

No 2005-FE-09, Economics Series Working Papers from University of Oxford, Department of Economics

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)
Date: 2005-06-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:2005-fe-09

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