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...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
Formatua:	Working paper
Hizkuntza:	English
Argitaratua:	Nuffield College (University of Oxford) 2003

Antzeko izenburuak

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

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

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

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: (2001)

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

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: (2002)

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

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)

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

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)

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

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

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

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

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

Power variation and time change
nork: Shephard, N, et al.
Argitaratua: (2006)

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

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

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

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

Modelling and measuring volatility
nork: Shephard, N, et al.
Argitaratua: (2008)

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

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

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
nork: Barndorff-Nielsen, O, et al.
Argitaratua: (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)].
nork: Nielsen, O, et al.
Argitaratua: (2005)

Stochastic Volatility.
nork: Shephard, N
Argitaratua: (2005)

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

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

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

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

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

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

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

Variation, jumps, market frictions and high frequency data in financial econometrics
nork: Shephard, N, 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)