A Note on the Central Limit Theorem for Bipower Variation of General Functions.

By Silja Kinnebrock, Mark Podolskij. 2008

51 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/9311326faa98963a45220c8f1e0a77928be5c533

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Citations in the corpus

Measuring Downside Risk - Realised Semivariance (2008, unknown): “Consider the framework of Theorem 2 in Kinnebrock and Podolskij (2007) and choose g (x) = ( g1 (x) g2 (x) ) = ( x21{x≥0} x21{x≤0} ) h (x) = I2 Assume that X is a Brownian semimartingale, conditions (H1) and (H2) are satisfied and note that g is continuously differentiable and so their theory…”
Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes (2009, unknown): “[6], [8], [9], [10], [14], [16], [18], [23] for theory and applications.”
Multipower Variation for Brownian Semistationary Processes (2011, background): “The motivation for the development of the results reported in this paper has been the need to construct tools for studying the probabilistic limit behaviour of (realised) quadratic variation and other multipower variations in relation to the class of Brownian semistationary (BSS) processes.”
Realised quantile-based estimation of the integrated variance (2010, background): “Moreover, when qi(m, λ) is based on asymmetric quantiles, the resulting CLT becomes infeasible, because the function qi(m, λ) is not even in X anymore (see Kinnebrock and Podolskij, 2008, for further discussion).”
Understanding limit theorems for semimartingales: a short survey (2009, methodology): “Later on those results were used to derive limit theorems for various functionals of semimartingales; we refer to [3], [4], [12], [13], [15] among many others.”
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, unknown): “When the times are equidistant, the theorem is a special case of Theorem 2 in Kinnebrock and Podolskij (2008). See also the development in Example 3 of Mykland and Zhang (2009).”