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...

תיאור מלא

מידע ביבליוגרפי
Main Authors: Barndorff-Nielsen, O, Shephard, N
פורמט: Working paper
שפה:English
יצא לאור: Nuffield College (University of Oxford) 2002