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Limit theorems for bipower variations in financial econometrics.

Abstract:
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.

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Publisher copy:
10.1017/S0266466606060324

Authors


Journal:
Econometric theory
Volume:
22
Publication date:
2006-01-01
DOI:
URN:
uuid:dbca750b-e4ee-447c-9434-bdc70c9a2b5a
Local pid:
oai:economics.ouls.ox.ac.uk:14160
Language:
English

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