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...

During extreme hyper-inflations productivity tends to fall dramatically.  Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role.  In this paper we use an empirical...

In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We...

Here we assume that the logarithmic asset price is given by a semimartingale. Jacod (2006) has derived an infeasible central limit theorem for the realised variance in such a general framework. However, here we focus on constructing a feasible limit theorem. We propose a new estimator for the...

This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the...

This paper looks at some recent work on estimating quadratic variation using realised variance (RV) - that is sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high frequency financial return data. When the underlying process is a...

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of...

This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where changes are allowed in the parameters for the short term dynamics. We reparametrise a vector autoregressive model such that the short-run parameters exhibiting changes at known...