Multipower Variation and Stochastic Volatility.
In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2004
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