- 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.
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(pdf, 119.6KB)
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- Publication date:
- 2004-01-01
- URN:
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uuid:e0388ce0-82b4-4438-acc2-729a32465b91
- Local pid:
- oai:economics.ouls.ox.ac.uk:11873
- Language:
- English
- Copyright date:
- 2004
Working paper
Multipower Variation and Stochastic Volatility.
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