Limit theorems for bipower variation in financial econometrics

Details Limit theorems for bipower variation in financial econometrics Limit theorems for bipower variation in financial econometrics

2005-03-30

arxiv.org/abs/math/0503711v1

Mathematics

Probability

Scientific paper

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which 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.

Affiliated with

Also associated with

No associations

Rating

Limit theorems for bipower variation in financial econometrics does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Limit theorems for bipower variation in financial econometrics, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Limit theorems for bipower variation in financial econometrics will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-439412