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

Abstract: 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)
Pages: 18
Date: 2007
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Citations: View citations in EconPapers (11)

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Journal Article: A note on the central limit theorem for bipower variation of general functions (2008)
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