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...
| Հիմնական հեղինակներ: | , , |
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| Ձևաչափ: | Working paper |
| Լեզու: | English |
| Հրապարակվել է: |
Nuffield College (University of Oxford)
2003
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