Power variation and time change

Power variation and time change

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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...

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Bibliografiske detaljer
Main Authors:	Barndorff-Nielsen, O, Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	Society for Industrial and Applied Mathematics 2006
Fag:	Economics Econometrics

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