Power variation and time change
- This paper provides limit distribution results for power variation, that is, sums of powers of absolute increments under nonequidistant subdivisions of time and for certain types of time-changed Brownian motion and α-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics.
- Publication status:
- Peer review status:
- Peer reviewed
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- Theory of Probability and Its Applications is a translation of the Russian journal Teoriya Veroyatnostei i ee Primeneniya. Citation: Barndorff-Nielsen, O. E. & Shephard, N. (2006). 'Power variation and time change', Theory of Probability and its Applications, 50(1), 1-15. [Available at http://siamdl.aip.org/tvp].