A Note on the Central Limit Theorem for Bipower Variation of General Functions
Silja Kinnebrock () and
Mark Podolskij ()
OFRC Working Papers Series from Oxford Financial Research Centre
In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even functions. We prove an infeasible central limit theorem for general functions and state some assumptions under which a feasible version of our results can be obtained. Finally, we present some examples from the literature to which our theory can be applied.
Keywords: Bipower Variation; Central Limit Theorem; Diffusion Models; High-Frequency Data; Semimartingale Theory (search for similar items in EconPapers)
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Journal Article: A note on the central limit theorem for bipower variation of general functions (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2007fe03
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