Working paper
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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Authors
Bibliographic Details
- Publisher:
- Nuffield College (University of Oxford)
- Series:
- Economics Working Papers
- Publication date:
- 2002-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:ce5eb62a-b3fb-47ef-9822-5aea52b7e723
- Local pid:
- oai:economics.ouls.ox.ac.uk:11886
- Deposit date:
- 2011-08-16
Related Items
Terms of use
- Copyright date:
- 2002
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