Limit theorems for bipower variation in financial econometrics

Preprint

30 March 2005

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.math/0503711

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.

Keywords

SEMIMARTINGALE ASSUMPTIONS
FINANCIAL ECONOMETRICS
ASYMPTOTIC ANALYSIS
BIPOWER VARIATION
STANDARD LEVERAGE
POWER VARIATION
LIMIT THEOREMS

All Related Versions

Version 1, 2005-03-30, ArXiv
Version 1, 2005-01-01, RePEc (Unconfirmed version)

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