A Note on the Central Limit Theorem for Bipower Variation of General Functions
AbstractIn this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even functions. We prove an infeasible central limit theorem for general functions and state some assumptions under which a feasible version of our results can be obtained. Finally, we present some examples from the literature to which our theory can be applied.
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Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2007fe03.
Date of creation: 2007
Date of revision:
Bipower Variation; Central Limit Theorem; Diffusion Models; High-Frequency Data; Semimartingale Theory;
Other versions of this item:
- Kinnebrock, Silja & Podolskij, Mark, 2008. "A note on the central limit theorem for bipower variation of general functions," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 1056-1070, June.
- NEP-ALL-2007-03-03 (All new papers)
- NEP-ECM-2007-03-03 (Econometrics)
- NEP-ETS-2007-03-03 (Econometric Time Series)
- NEP-MST-2007-03-03 (Market Microstructure)
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