Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Workplace-Name: Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark
Author-Name: Sven Erik Graversen
Author-Workplace-Name: Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark
Author-Name: Jean Jacod
Author-Workplace-Name: Laboratoire de Probabilités et Modéles Aléatoires (CNRS UMR 7599), Université Pierre et Marie Curie, 4 Place Jussieu, 75252 Paris Cedex 05, France
Author-Name: Neil Shephard
Author-Email: neil.shephard@economics.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford
Title: Limit theorems for bipower variation in financial econometrics
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: Bipower variation, Power variation, Quadratic variation, Semimartingales, Stochastic volatility
Length: 43 pages
Creation-Date: 2005-10-27
Number: 2005-W06
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2005/w6/jacodapp.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0506