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 |
| Published: |
Bernoulli Society for Mathematical Statistics and Probability
2003
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| Subjects: |