Limit theorems for bipower variation in financial econometrics

Ole Barndorff-Nielsen, Sven Erik Graversen, Jean Jacod and Neil Shephard ()

OFRC Working Papers Series from Oxford Financial Research Centre

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.

Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-ets
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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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