LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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Publication:3408516
DOI10.1017/S0266466606060324zbMATH Open1125.62114arXivmath/0503711OpenAlexW3123095880MaRDI QIDQ3408516FDOQ3408516
Authors: Jean Jacod, Ole E. Barndorff-Nielsen, Svend-Erik Graversen, Neil Shephard 
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/math/0503711
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (51)
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- Stationary bootstrapping realized volatility
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