A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
Consider a semimartingale of the form Y_{t}=Y_0+\int _0^{t}a_{s}ds+\int _0^{t}_{s-} dW_{s}, where a is a locally bounded predictable process and (the "volatility") is an adapted right--continuous process with left limits and W is a Brownian motion. We define the realised bipower variation...
| Main Authors: | , , , , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2004
|