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...
Auteurs principaux: | Barndorff-Nielsen, O, Graversen, S, Shephard, N |
---|---|
Format: | Journal article |
Langue: | English |
Publié: |
Applied Probability Trust
2004
|
Sujets: |
Documents similaires
-
Power and bipower variation with stochastic volatility and jumps
par: Barndorff-Nielsen, O, et autres
Publié: (2004) -
Realised power variation and stochastic volatility models
par: Barndorff-Nielsen, O, et autres
Publié: (2003) -
Integrated OU processes and non-Gaussian OU-based stochastic volatility models
par: Barndorff-Nielsen, O, et autres
Publié: (2003) -
Power variation & stochastic volatility: a review and some new results.
par: Barndorff-Nielsen, O, et autres
Publié: (2003) -
Limit theorems for bipower variations in financial econometrics
par: Barndorff-Nielsen, O, et autres
Publié: (2006)