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...
| 主要な著者: | , |
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| フォーマット: | Working paper |
| 言語: | English |
| 出版事項: |
Nuffield College (University of Oxford)
2002
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