Limit theorems for bipower variation in financial econometrics

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dc.creatorBarndorff-Nielsen, Ole E.
dc.creatorGraversen, Svend E.
dc.creatorJacod, Jean
dc.creatorShephard, Neil
dc.date2005-03-30
dc.date.accessioned2026-07-07T05:18:38Z
dc.date.available2026-07-07T05:18:38Z
dc.descriptionIn 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.
dc.identifierhttps://arxiv.org/abs/math/0503711
dc.identifierhttp://arxiv.org/abs/math/0503711
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/74732
dc.subjectProbability
dc.subjectMSC 60F17, 60G44
dc.titleLimit theorems for bipower variation in financial econometrics
dc.typetext

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