Working paper icon

Working paper

Power variation & stochastic volatility: a review and some new results.

Abstract:
In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.

Actions


Access Document


Files:

Authors


Ole E. Barndorff-Nielsen More by this author
Svend Erik Graversen More by this author
Neil Shephard More by this author
Volume:
W19
Series:
Economics Working Papers
Publication date:
2003
URN:
uuid:3cb4be5c-567f-4402-9c4c-f4e0b2e1a77e
Local pid:
oai:economics.ouls.ox.ac.uk:11885
Language:
English

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP