POWER AND BIPOWER VARIATION: THEORY AND APPLICATIONS

Ole E. Barndorff-Nielsen
(joint work with Neil Shephard)

Abstract

A survey is given of the recently developed theory of power variation and bipower variation and of some of its applications, particularly to the study of realised (co)variation, using high frequency data. The variation quantities in question consist basically of sums of products of absolute returns raised to real powers. (For some lead-in to the literature, see www.levyprocess.org)