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...
| Hoofdauteurs: | , , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Applied Probability Trust
2004
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| _version_ | 1826262776728780800 |
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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. |
| first_indexed | 2024-03-06T19:41:26Z |
| format | Journal article |
| id | oxford-uuid:20cef61e-bd2e-44d2-af3d-e1691e8f2403 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:41:26Z |
| publishDate | 2004 |
| publisher | Applied Probability Trust |
| record_format | dspace |
| 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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