Realised power variation and stochastic volatility models.
Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory cover, for ex...
| Autores principales: | , |
|---|---|
| Formato: | Working paper |
| Lenguaje: | English |
| Publicado: |
Nuffield College (University of Oxford)
2001
|