Journal article

Power variation and time change

Abstract:: 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:: Published

Peer review status:: Peer reviewed

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APA Style

Barndorff-Nielsen, O., & Shephard, N. (2006). Power variation and time change. Theory of Probability and Its Applications, 50(1), 1–15.

MLA Style

Barndorff-Nielsen, O., and N. Shephard. “Power Variation and Time Change.” Theory of Probability and Its Applications, vol. 50, no. 1, Society for Industrial and Applied Mathematics, 2006, pp. 1–15.

Chicago Style

Barndorff-Nielsen, O, and N Shephard. 2006. “Power Variation and Time Change.” Theory of Probability and Its Applications 50 (1): 1–15.
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Files:: Power variation.pdf

(Preview, pdf, 177.1KB, Terms of use)

Publisher copy:: 10.1137/S0040585X97981482

Authors

+ Barndorff-Nielsen, O More by this author

Institution:: University of Aarhus
Department:: Department of Mathematical Sciences
Role:: Author

+ Shephard, N More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Economics
Research group:: "Financial Economics", "Econometrics"
Oxford college:: Nuffield College
Role:: Author

Publisher:: Society for Industrial and Applied Mathematics
Journal:: Theory of Probability and its Applications More from this journal
Volume:: 50
Issue:: 1
Pages:: 1-15
Publication date:: 2006-01-01
DOI:: 10.1137/S0040585X97981482
ISSN:: 0040-585X

Language:: English
Keywords:: semimartingales

r-variation

realized variance

time change

power variation

stochastic volatility
Subjects:: Economics

Econometrics
UUID:: uuid:bb07830c-0151-4ef3-9a90-6c1a30abbc7e
Local pid:: ora:2057
Deposit date:: 2008-06-13

Terms of use

Copyright holder:: Society for Industrial and Applied Mathematics
Copyright date:: 2006
Notes:: 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].

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

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