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...

書目詳細資料
Main Authors:	Barndorff-Nielsen, O, Graversen, S, Shephard, N
格式:	Working paper
語言:	English
出版:	Nuffield College (University of Oxford) 2003

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