Limit theorems for bipower variation in financial econometrics

Ole E. Barndorff-Nielsen (1) , Svend E. Graversen (1) , Jean Jacod (2) , Neil Shephard (3)

1 Department of Mathematical [Aarhus]
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
3 NUFFIELD COLLEGE - Nuffield College

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.

Mots clés: Bipower variation; Semimartingales; Stochastic volatility; Power variation; Quadratic variation

Domaines: Probabilités [math.PR]

Ole E. Barndorff-Nielsen, Svend E. Graversen, Jean Jacod, Neil Shephard. Limit theorems for bipower variation in financial econometrics. 2005. ⟨hal-00004604⟩