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Limit theorems for bipower variation in financial econometrics

 

Ole E. Barndorff-Nielsen: Department of Mathematical Sciences,
University of Aarhus

Sven Erik Graversen: Department of Mathematical Sciences, University of Aarhus

 

Jean Jacod: Laboratoire de Probabilités et Modéles Aléatoires, Université Pierre et Marie Curie, Paris

 

Neil Shephard: 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. 

 

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