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Power Variation and Time Change.

Abstract:
This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $\alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics.

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Volume:
24
Series:
Economics Working Papers
Publication date:
2002-01-01
URN:
uuid:ce5eb62a-b3fb-47ef-9822-5aea52b7e723
Local pid:
oai:economics.ouls.ox.ac.uk:11886
Language:
English

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