Working paper

Higher order variation and stochastic volatility models.

Abstract:: Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

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APA Style

Barndorff-Nielsen, O., & Shephard, N. (2001). Higher order variation and stochastic volatility models. Nuffield College (University of Oxford).

MLA Style

Barndorff-Nielsen, O., and N. Shephard. Higher Order Variation and Stochastic Volatility Models. Nuffield College (University of Oxford), 2001.

Chicago Style

Barndorff-Nielsen, O, and N Shephard. 2001. “Higher Order Variation and Stochastic Volatility Models.” Economics Working Papers. Nuffield College (University of Oxford).
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Files:: higher.pdf

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Authors

+ Barndorff-Nielsen, O More by this author

Role:: Author

+ Shephard, N More by this author

Role:: Author

Publisher:: Nuffield College (University of Oxford)
Series:: Economics Working Papers
Publication date:: 2001-01-01

Language:: English
UUID:: uuid:237cb223-a6d4-4202-9224-04074acd71a5
Local pid:: oai:economics.ouls.ox.ac.uk:11878
Deposit date:: 2011-08-16

Terms of use

Copyright date:: 2001

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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