Realised power variation and stochastic volatility models

Realised power variation and stochastic volatility models

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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...

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Bibliografische gegevens
Hoofdauteurs:	Barndorff-Nielsen, O, Shephard, N
Formaat:	Journal article
Taal:	English
Gepubliceerd in:	Bernoulli Society for Mathematical Statistics and Probability 2003
Onderwerpen:	Economics Econometrics

Gelijkaardige items

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

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

Realised power variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

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

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2005)

Power variation and time change
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2006)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2004)

Estimating quadratic variation using realized variance
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2002)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
door: Shephard, N, et al.
Gepubliceerd in: (2001)

Markov chain Monte Carlo methods for stochastic volatility models
door: Chib, S, et al.
Gepubliceerd in: (2002)

Estimating quadratic variation using realised volatility.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

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

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

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
door: Bos, C, et al.
Gepubliceerd in: (2006)

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

Power and Bipower Variation with Stochastic Volatility and Jumps.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

Multipower Variation and Stochastic Volatility.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2004)

Higher order variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

Some recent developments in stochastic volatility modelling
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2002)

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

Power variation & stochastic volatility: a review and some new results.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2003)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2004)

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

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

Local scale models: state space alternative to integrated GARCH processes
door: Shephard, N
Gepubliceerd in: (1994)

Distribution of the ML estimator of a MA (1) and a local level model
door: Shephard, N
Gepubliceerd in: (1993)

Dynamics of trade-by-trade price movements: decomposition and models
door: Rydberg, T, et al.
Gepubliceerd in: (2003)

Exact score for time series models in state space form
door: Koopman, S, et al.
Gepubliceerd in: (1992)

On the probability of estimating a deterministic component in the local level model
door: Harvey, A, et al.
Gepubliceerd in: (1990)

Subsampling realised kernels
door: Shephard, N, et al.
Gepubliceerd in: (2011)

Subsampling realised kernels
door: Shephard, N, et al.
Gepubliceerd in: (2006)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
door: Pitt, M, et al.
Gepubliceerd in: (1999)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
door: Shephard, N, et al.
Gepubliceerd in: (2003)

Statistical algorithms for models in state space form using SsfPack 2.2
door: Koopman, S, et al.
Gepubliceerd in: (1999)

Likelihood inference for discretely observed non-linear diffusions
door: Elerian, O, et al.
Gepubliceerd in: (2001)

From characteristic function to distribution function: a simple framework for the theory
door: Shephard, N
Gepubliceerd in: (1991)

Measuring downside risk-realised semivariance.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2008)

How Accurate Is the Asymptotic Approximation to the Distribution of Realised Variance?
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2005)