Limit theorems for bipower variation in financial econometrics

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.

MoreLess

Year of publication:	2005-06-01
Authors:	Shephard, Neil
Institutions:	Department of Economics, Oxford University
Subject:	Bipower Variation \| Power Variation \| Quadratic Variation \| Semimartingales \| Stochastic Volatility

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2005-FE-09
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010661447