Vetter, Mathias - In: Stochastic Processes and their Applications 120 (2010) 1, pp. 22-38
This paper presents limit theorems for certain functionals of semimartingales observed at high frequency. In particular, we extend results from Jacod (2008) [5] to the case of bipower variation, showing under standard assumptions that one obtains a limiting variable, which is in general...