Multipower Variation and Stochastic Volatility.

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.

Opis bibliograficzny
Główni autorzy:	Barndorff-Nielsen, O, Shephard, N
Format:	Working paper
Język:	English
Wydane:	Nuffield College (University of Oxford) 2004

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