- In this paper we provide an asymptotic analysis of generalized bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation, and bipower variations that 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.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher's version
- Copyright holder:
- Cambridge University Press
- Copyright date:
- Citation: Barndorff-Nielsen, O. E. et al. (2006). 'Limit theorems for bipower variation in financial econometrics', Econometric Theory, 22(4), 677-719. [Available at http://journals.cambridge.org/action/displayJournal?jid=ECT].
Limit theorems for bipower variations in financial econometrics
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record