This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Andersen T.G., Bollerslev T., Diebold F.X. and Labys P.: Modeling and Fore-casting realized Volatility. Econometrica, 71, 579-625 (2003)
Andersen T.G., Bollerslev T. and Diebold F.X.: Parametric and nonparametric measurement of volatility, in “Handbook of Financial Econometrics”, edited by Ait-Sahalia Y. and Hansen L.P., North Holland, Amsterdam, Forthcoming (2004)
Barndorff-Nielsen O.E. and Shephard N.: Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B, 64, 253-280 (2002)
Barndorff-Nielsen O.E. and Shephard N.: Econometrics of testing for jumps in financial economics using bipower variation. Unpublished discussion paper: Nuffield College, Oxford (2003)
Barndorff-Nielsen O.E. and Shephard N.: Power and bipower variation with stochastic volatility and jumps (with discussion). Journal of Financial Econo-metrics, 2, 1-48 (2004)
Barndorff-Nielsen O.E. and Shephard N.: Econometric analysis of realised co-variation: high frequency covariance, regression and correlation in financial eco-nomics. Econometrica, 72, 885-925 (2004)
Becker E.: Thórèmes limites pour des processus discrétisés. PhD Thesis, Univ. P. et M. Curie (1998)
Jacod, J.: Limit of random measures associated with the increments of a Brown-ian semimartingale. Unpublished manuscript (1994)
Jacod, J. and Shiryaev, A.: Limit Theorems for Stochastic Processes, 2d edition. Springer-Verlag: Berlin (2003)
Jacod, J.: Inference for stochastic processes, in “Handbook of Financial Econo-metrics”, edited by Ait-Sahalia Y. and Hansen L.P., North Holland, Amsterdam, Forthcoming (2004)
Rényi A.: On stable sequences of events. Sankhya, Ser. A, 25, 293-302 (1963)
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Barndorff–Nielsen, O.E., Graversen, S.E., Jacod, J., Podolskij, M., Shephard, N. (2006). A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. In: From Stochastic Calculus to Mathematical Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30788-4_3
Download citation
DOI: https://doi.org/10.1007/978-3-540-30788-4_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-30782-2
Online ISBN: 978-3-540-30788-4
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)