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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

Published online by Cambridge University Press:  23 May 2006

Ole E. Barndorff-Nielsen ,
Svend Erik Graversen ,
Jean Jacod  and
Neil Shephard
Ole E. Barndorff-Nielsen
Affiliation:
University of Aarhus
Svend Erik Graversen
Affiliation:
University of Aarhus
Jean Jacod
Affiliation:
Université Pierre et Marie Curie
Neil Shephard
Affiliation:
University of Oxford
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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.Ole E. Barndorff-Nielsen's work is supported by the Centre for Analytical Finance (CAF), which is funded by the Danish Social Science Research Council. Neil Shephard's research is supported by the UK's ESRC through the grant “High frequency financial econometrics based upon power variation.” We thank the editor, Peter Phillips, and the referees for their stimulating comments on an earlier version.

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Type
Research Article
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 677 - 719
Copyright
© 2006 Cambridge University Press

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References

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