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...
| Những tác giả chính: | , , , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Cambridge University Press
2006
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