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.
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Authors
Bibliographic Details
- Publisher:
- Nuffield College (University of Oxford)
- Series:
- Economics Working Papers
- Publication date:
- 2003-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:3cb4be5c-567f-4402-9c4c-f4e0b2e1a77e
- Local pid:
- oai:economics.ouls.ox.ac.uk:11885
- Deposit date:
- 2011-08-16
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Terms of use
- Copyright date:
- 2003
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