Working paper
Multipower Variation and Stochastic Volatility.
- Abstract:
- In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.
Actions
Authors
- Publisher:
- Nuffield College (University of Oxford)
- Host title:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Series:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Publication date:
- 2004-01-01
- Language:
-
English
- UUID:
-
uuid:e0388ce0-82b4-4438-acc2-729a32465b91
- Local pid:
-
oai:economics.ouls.ox.ac.uk:11873
- Deposit date:
-
2011-08-16
Terms of use
- Copyright date:
- 2004
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