Limit theorems for bipower variation in financial econometrics

Moderate deviations for bipower variation of general function and Hayashi-Yoshida estimators

We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for m-dependent random variables based on the Chen-Ledoux type condition. In the last decade there has been a considerable development of the asymptotic theory for processes observed at a high frequency. This was mainly motivated by financial applications , where the data, such as stock prices or currencies, are observed very frequently. As under the no-arbitrage assum…