Realised power variation and stochastic volatility models
Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Bernoulli Society for Mathematical Statistics and Probability
2003
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| _version_ | 1826270351262220288 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information. |
| first_indexed | 2024-03-06T21:39:28Z |
| format | Journal article |
| id | oxford-uuid:47675e19-08a6-4588-b989-5e2ca3cbfce3 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:39:28Z |
| publishDate | 2003 |
| publisher | Bernoulli Society for Mathematical Statistics and Probability |
| record_format | dspace |
| spelling | oxford-uuid:47675e19-08a6-4588-b989-5e2ca3cbfce32022-03-26T15:19:59ZRealised power variation and stochastic volatility modelsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:47675e19-08a6-4588-b989-5e2ca3cbfce3EconomicsEconometricsEnglishOxford University Research Archive - ValetBernoulli Society for Mathematical Statistics and Probability2003Barndorff-Nielsen, OShephard, NLimit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information. |
| spellingShingle | Economics Econometrics Barndorff-Nielsen, O Shephard, N Realised power variation and stochastic volatility models |
| title | Realised power variation and stochastic volatility models |
| title_full | Realised power variation and stochastic volatility models |
| title_fullStr | Realised power variation and stochastic volatility models |
| title_full_unstemmed | Realised power variation and stochastic volatility models |
| title_short | Realised power variation and stochastic volatility models |
| title_sort | realised power variation and stochastic volatility models |
| topic | Economics Econometrics |
| work_keys_str_mv | AT barndorffnielseno realisedpowervariationandstochasticvolatilitymodels AT shephardn realisedpowervariationandstochasticvolatilitymodels |