"Limit theorems for bipower variation in financial econometrics" Ole E. Barndorff-Nielsen Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark Sven Erik Graversen Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark Jean Jacod Laboratoire de Probabilités et Modéles Aléatoires (CNRS UMR 7599) Université Pierre et Marie Curie, 4 Place Jussieu, 75252 Paris Cedex 05, France and Neil Shephard Nuffield College, University of Oxford, Oxford OX1 1NF, UK 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.