Power variation and stochastic volatility: a review and some new results

In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in finan...

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প্রধান লেখক: Barndorff-Nielsen, O, Graversen, S, Shephard, N
বিন্যাস: Journal article
ভাষা:English
প্রকাশিত: Applied Probability Trust 2004
বিষয়গুলি:
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author Barndorff-Nielsen, O
Graversen, S
Shephard, N
author_facet Barndorff-Nielsen, O
Graversen, S
Shephard, N
author_sort Barndorff-Nielsen, O
collection OXFORD
description In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.
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spelling oxford-uuid:20cef61e-bd2e-44d2-af3d-e1691e8f24032022-03-26T11:29:36ZPower variation and stochastic volatility: a review and some new resultsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:20cef61e-bd2e-44d2-af3d-e1691e8f2403EconometricsEconomicsEnglishOxford University Research Archive - ValetApplied Probability Trust2004Barndorff-Nielsen, OGraversen, SShephard, NIn this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.
spellingShingle Econometrics
Economics
Barndorff-Nielsen, O
Graversen, S
Shephard, N
Power variation and stochastic volatility: a review and some new results
title Power variation and stochastic volatility: a review and some new results
title_full Power variation and stochastic volatility: a review and some new results
title_fullStr Power variation and stochastic volatility: a review and some new results
title_full_unstemmed Power variation and stochastic volatility: a review and some new results
title_short Power variation and stochastic volatility: a review and some new results
title_sort power variation and stochastic volatility a review and some new results
topic Econometrics
Economics
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AT graversens powervariationandstochasticvolatilityareviewandsomenewresults
AT shephardn powervariationandstochasticvolatilityareviewandsomenewresults