Power variation and stochastic volatility: a review and some new results
- In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- Applied Probability Trust
- Copyright date:
- The full-text of this article is not available in ORA. Citation: Barndorff-Nielsen, O. E., Graversen, S.-E. & Shephard, N. (2004). 'Power variation and stochastic volatility: a review and some new results', Journal of Applied Probability, 41A, 133-143. [Available at http://www.appliedprobability.org/ap.html].
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