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...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Formatua:	Journal article
Hizkuntza:	English
Argitaratua:	Applied Probability Trust 2004
Gaiak:	Econometrics Economics

Antzeko izenburuak

Power and bipower variation with stochastic volatility and jumps
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2004)

Realised power variation and stochastic volatility models
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2003)

Power variation & stochastic volatility: a review and some new results.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2003)

Limit theorems for bipower variations in financial econometrics
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2006)

Power variation and time change
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2006)

Estimating quadratic variation using realized variance
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2002)

Econometrics of testing for jumps in financial economics using bipower variation
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2005)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2005)

Markov chain Monte Carlo methods for stochastic volatility models
nork: Chib, S, et al.
Argitaratua: (2002)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
nork: Bos, C, et al.
Argitaratua: (2006)

Some recent developments in stochastic volatility modelling
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2002)

Power and Bipower Variation with Stochastic Volatility and Jumps.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2004)

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

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

Multipower Variation and Stochastic Volatility.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2004)

Higher order variation and stochastic volatility models.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2001)

Some recent developments in stochastic volatility modelling.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2001)

Distribution of the ML estimator of a MA (1) and a local level model
nork: Shephard, N
Argitaratua: (1993)

Local scale models: state space alternative to integrated GARCH processes
nork: Shephard, N
Argitaratua: (1994)

From characteristic function to distribution function: a simple framework for the theory
nork: Shephard, N
Argitaratua: (1991)

Likelihood inference for discretely observed non-linear diffusions
nork: Elerian, O, et al.
Argitaratua: (2001)

Exact score for time series models in state space form
nork: Koopman, S, et al.
Argitaratua: (1992)

Dynamics of trade-by-trade price movements: decomposition and models
nork: Rydberg, T, et al.
Argitaratua: (2003)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
nork: Pitt, M, et al.
Argitaratua: (1999)

On the probability of estimating a deterministic component in the local level model
nork: Harvey, A, et al.
Argitaratua: (1990)

Simulation-based likelihood inference for limited dependent processes
nork: Manrique, A, et al.
Argitaratua: (1998)

Statistical algorithms for models in state space form using SsfPack 2.2
nork: Koopman, S, et al.
Argitaratua: (1999)

Detecting shocks: outliers and breaks in time series
nork: Atkinson, A, et al.
Argitaratua: (1997)

Likelihood-based estimation of latent generalised ARCH structures
nork: Fiorentini, G, et al.
Argitaratua: (2004)

Parallel computation in econometrics: a simplified approach
nork: Doornik, J, et al.
Argitaratua: (2006)

Computationally-intensive econometrics using a distributed matrix-programming language
nork: Doornik, J, et al.
Argitaratua: (2002)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
nork: Shephard, N, et al.
Argitaratua: (2001)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2001)

Essays on multivariate volatility and dependence models for financial time series
nork: Noureldin, D
Argitaratua: (2011)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
nork: Shephard, N, et al.
Argitaratua: (2003)

Estimating quadratic variation using realised volatility.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2001)

Limit theorems for multipower variation in the presence of jumps
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (2006)