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...
| Huvudupphovsmän: | , |
|---|---|
| Materialtyp: | Working paper |
| Språk: | English |
| Publicerad: |
Nuffield College (University of Oxford)
2002
|
Search Result 1
Search Result 2
