Limit theorems for bipower variation of semimartingales
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Publication:2654158
DOI10.1016/j.spa.2009.10.005zbMath1183.60010MaRDI QIDQ2654158
Publication date: 15 January 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.005
central limit theorem; semimartingale; stable convergence; bipower variation; high-frequency observations
62G20: Asymptotic properties of nonparametric inference
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
60G44: Martingales with continuous parameter
60F17: Functional limit theorems; invariance principles
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- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
