Limit Theorems for Bipower Variation 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...
| Główni autorzy: | , , , |
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| Format: | Journal article |
| Język: | English |
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Cambridge University Press
2006
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| _version_ | 1826281621133721600 |
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| author | Barndorff-Nielsen, O Graversen, S Jacod, J Shephard, N |
| author_facet | Barndorff-Nielsen, O Graversen, S Jacod, J Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T00:31:32Z |
| format | Journal article |
| id | oxford-uuid:7ff6c6c5-3154-46cb-a66c-73237c7afb72 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:31:32Z |
| publishDate | 2006 |
| publisher | Cambridge University Press |
| record_format | dspace |
| spelling | oxford-uuid:7ff6c6c5-3154-46cb-a66c-73237c7afb722022-03-26T21:20:17ZLimit Theorems for Bipower Variation in Financial Econometrics.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:7ff6c6c5-3154-46cb-a66c-73237c7afb72EnglishDepartment of Economics - ePrintsCambridge University Press2006Barndorff-Nielsen, OGraversen, SJacod, JShephard, NIn 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. |
| spellingShingle | Barndorff-Nielsen, O Graversen, S Jacod, J Shephard, N Limit Theorems for Bipower Variation in Financial Econometrics. |
| title | Limit Theorems for Bipower Variation in Financial Econometrics. |
| title_full | Limit Theorems for Bipower Variation in Financial Econometrics. |
| title_fullStr | Limit Theorems for Bipower Variation in Financial Econometrics. |
| title_full_unstemmed | Limit Theorems for Bipower Variation in Financial Econometrics. |
| title_short | Limit Theorems for Bipower Variation in Financial Econometrics. |
| title_sort | limit theorems for bipower variation in financial econometrics |
| work_keys_str_mv | AT barndorffnielseno limittheoremsforbipowervariationinfinancialeconometrics AT graversens limittheoremsforbipowervariationinfinancialeconometrics AT jacodj limittheoremsforbipowervariationinfinancialeconometrics AT shephardn limittheoremsforbipowervariationinfinancialeconometrics |