Higher order variation and stochastic volatility models.

Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

Bibliographic Details
Main Authors: Barndorff-Nielsen, O, Shephard, N
Format: Working paper
Language:English
Published: Nuffield College (University of Oxford) 2001