Limit theorems for bipower variations in financial econometrics
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 economet...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Cambridge University Press
2006
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| Subjects: |