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...

Bibliografske podrobnosti
Main Authors:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Format:	Journal article
Jezik:	English
Izdano:	Applied Probability Trust 2004
Teme:	Econometrics Economics

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