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A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT, pp.33-+, (2006)
Abstract
Consider a semimartingale of the form Y-t = Y-0 + integral(t)(0) a(s)ds + integral(t)(0) sigma(s-) dW(s), where a is a locally bounded predictable process and or (the "volatility") is an adapted right-continuous process with left limits and W is a Brownian motion. We consider the realised bipower variation process [GRAPHICS] where r and s...More
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