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Limit theorems for bipower variation in financial econometrics

Author

Listed:
  • Ole E. Barndorff-Nielsen

    (Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark)

  • Sven Erik Graversen

    (Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark)

  • Jean Jacod

    (Laboratoire de Probabilités et Modéles Aléatoires (CNRS UMR 7599), Université Pierre et Marie Curie, 4 Place Jussieu, 75252 Paris Cedex 05, France)

  • Neil Shephard

    (Nuffield College, Oxford)

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," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0506
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    References listed on IDEAS

    as
    1. Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Series Working Papers 2004-FE-20, University of Oxford, Department of Economics.
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    More about this item

    Keywords

    Bipower variation; Power variation; Quadratic variation; Semimartingales; Stochastic volatility;
    All these keywords.

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