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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