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

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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Bibliografiske detaljer
Main Authors:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	Applied Probability Trust 2004
Fag:	Econometrics Economics

Lignende værker

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Realised power variation and stochastic volatility models
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Power variation & stochastic volatility: a review and some new results.
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Some recent developments in stochastic volatility modelling
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Power and Bipower Variation with Stochastic Volatility and Jumps.
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Udgivet: (2004)

Power and bipower variation with stochastic volatility and jumps.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Realised power variation and stochastic volatility models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Multipower Variation and Stochastic Volatility.
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Higher order variation and stochastic volatility models.
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Some recent developments in stochastic volatility modelling.
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Simulation-based likelihood inference for limited dependent processes
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Statistical algorithms for models in state space form using SsfPack 2.2
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Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
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Essays on multivariate volatility and dependence models for financial time series
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Integrated OU processes and non-Gaussian OU-based stochastic volatility models
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Estimating quadratic variation using realised volatility.
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Limit theorems for multipower variation in the presence of jumps
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