Power variation and time change
This paper provides limit distribution results for power variation, that is, sums of powers of absolute increments under nonequidistant subdivisions of time and for certain types of time-changed Brownian motion and α-stable processes. Special cases of these processes are stochastic volatility models...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Society for Industrial and Applied Mathematics
2006
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| Subjects: |
| _version_ | 1826293557540945920 |
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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 | This paper provides limit distribution results for power variation, that is, sums of powers of absolute increments under nonequidistant subdivisions of time and for certain types of time-changed Brownian motion and α-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics. |
| first_indexed | 2024-03-07T03:31:57Z |
| format | Journal article |
| id | oxford-uuid:bb07830c-0151-4ef3-9a90-6c1a30abbc7e |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T03:31:57Z |
| publishDate | 2006 |
| publisher | Society for Industrial and Applied Mathematics |
| record_format | dspace |
| spelling | oxford-uuid:bb07830c-0151-4ef3-9a90-6c1a30abbc7e2022-03-27T05:13:58ZPower variation and time changeJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:bb07830c-0151-4ef3-9a90-6c1a30abbc7eEconomicsEconometricsEnglishOxford University Research Archive - ValetSociety for Industrial and Applied Mathematics2006Barndorff-Nielsen, OShephard, NThis paper provides limit distribution results for power variation, that is, sums of powers of absolute increments under nonequidistant subdivisions of time and for certain types of time-changed Brownian motion and α-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics. |
| spellingShingle | Economics Econometrics Barndorff-Nielsen, O Shephard, N Power variation and time change |
| title | Power variation and time change |
| title_full | Power variation and time change |
| title_fullStr | Power variation and time change |
| title_full_unstemmed | Power variation and time change |
| title_short | Power variation and time change |
| title_sort | power variation and time change |
| topic | Economics Econometrics |
| work_keys_str_mv | AT barndorffnielseno powervariationandtimechange AT shephardn powervariationandtimechange |