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...
| Hoofdauteurs: | , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Bernoulli Society for Mathematical Statistics and Probability
2003
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| Onderwerpen: |
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