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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Dades bibliogràfiques
Autors principals:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Format:	Journal article
Idioma:	English
Publicat:	Applied Probability Trust 2004
Matèries:	Econometrics Economics

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