LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
研究了金融经济学中价格过程变差的双幂测度的渐近性质，涵盖二次变差、幂变差和双幂变差，在允许杠杆效应的布朗半鞅假设下进行分析。
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.