Power Variation and Time Change.

This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $\alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econome...

Täydet tiedot

Bibliografiset tiedot
Päätekijät: Barndorff-Nielsen, O, Shephard, N
Aineistotyyppi: Working paper
Kieli:English
Julkaistu: Nuffield College (University of Oxford) 2002
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