In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...

Consider a semimartingale of the form Y_{t}=Y_0+\int _0^{t}a_{s}ds+\int _0^{t}_{s-} dW_{s}, where a is a locally bounded predictable process and (the "volatility") is an adapted right--continuous process with left limits and W is a Brownian motion. We define the realised bipower variation...

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...