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...
| Главные авторы: | , |
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| Формат: | Working paper |
| Язык: | English |
| Опубликовано: |
Nuffield College (University of Oxford)
2001
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