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Limit theorems for bipower variation in financial econometrics

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  • Ole E. Barndorff-Nielsen
  • Sven Erik Graversen
  • Jean Jacod
  • Neil Shephard

Abstract

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which 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.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
  • Handle: RePEc:sbs:wpsefe:2005fe09
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2005fe09.pdf
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    References listed on IDEAS

    as
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