Power variation & stochastic volatility: a review and some new results.

Power variation & 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 financ...

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Bibliografiske detaljer
Main Authors:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Format:	Working paper
Sprog:	English
Udgivet:	Nuffield College (University of Oxford) 2003

Lignende værker

Power variation and stochastic volatility: a review and some new results
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

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

Limit Theorems for Bipower Variation in Financial Econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

Limit theorems for bipower variations in financial econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

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

Power variation and time change
af: Shephard, N, et al.
Udgivet: (2006)

Power Variation and Time Change.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2002)

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

Some Recent Developments in Stochastic Volatility Modelling.
af: Nielsen, O, et al.
Udgivet: (2002)

Modelling and measuring volatility.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2008)

Modelling and measuring volatility
af: Shephard, N, et al.
Udgivet: (2008)

Aggregation and Model Construction for Volatility Models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (1998)

How accurate is the asymptotic approximation to the distribution of realised volatility?
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2004)

Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models [Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics (with Discussion)].
af: Nielsen, O, et al.
Udgivet: (2005)

Stochastic Volatility.
af: Shephard, N
Udgivet: (2005)

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

Estimating Quadratic Variation Using Realized Variance.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2002)

Estimating Quadratic Variation Using Realized Variance.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Econometrics of testing for jumps in financial economics using bipower variation.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2003)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2006)

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

Variation, jumps, market frictions and high frequency data in financial econometrics.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2005)

Variation, jumps, market frictions and high frequency data in financial econometrics
af: Shephard, N, et al.
Udgivet: (2005)

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