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.
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Authors
Bibliographic Details
- Publisher:
- Nuffield College (University of Oxford)
- Series:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Host title:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Publication date:
- 2004-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:e0388ce0-82b4-4438-acc2-729a32465b91
- Local pid:
- oai:economics.ouls.ox.ac.uk:11873
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2004
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