Limit theorems for bipower variation of semimartingales

Stochastic Processes and their Applications

Volumn 120, Issue 1, 2010, Pages 22-38

  Vetter, Mathias ^a  

^a RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

Bipower variation; Central limit theorem; High frequency observations; Semimartingale; Stable convergence

Indexed keywords

ASYMPTOTIC BEHAVIOUR; CENTRAL LIMIT THEOREM; FUNCTIONALS; HIGH FREQUENCY; HIGH FREQUENCY HF; INTEGRATED VOLATILITY; LIMIT THEOREM; SEMIMARTINGALES; STABLE CONVERGENCE; STANDARD ASSUMPTIONS; TRUNCATED VERSIONS;

ASYMPTOTIC ANALYSIS;

EID: 70449622718     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2009.10.005     Document Type: Article

References (12)

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