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...
| Main Authors: | , , |
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| פורמט: | Journal article |
| שפה: | English |
| יצא לאור: |
Applied Probability Trust
2004
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| נושאים: |