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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| _version_ | 1826300948913324032 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T05:24:56Z |
| format | Working paper |
| id | oxford-uuid:e0388ce0-82b4-4438-acc2-729a32465b91 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:24:56Z |
| publishDate | 2004 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:e0388ce0-82b4-4438-acc2-729a32465b912022-03-27T09:45:28ZMultipower Variation and Stochastic Volatility.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:e0388ce0-82b4-4438-acc2-729a32465b91EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2004Barndorff-Nielsen, OShephard, NIn 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. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N Multipower Variation and Stochastic Volatility. |
| title | Multipower Variation and Stochastic Volatility. |
| title_full | Multipower Variation and Stochastic Volatility. |
| title_fullStr | Multipower Variation and Stochastic Volatility. |
| title_full_unstemmed | Multipower Variation and Stochastic Volatility. |
| title_short | Multipower Variation and Stochastic Volatility. |
| title_sort | multipower variation and stochastic volatility |
| work_keys_str_mv | AT barndorffnielseno multipowervariationandstochasticvolatility AT shephardn multipowervariationandstochasticvolatility |