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Power variation and stochastic volatility: a review and some new results

Abstract:
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:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1239/jap/1082552195

Authors


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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
More by this author
Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
"Financial Economics", "Econometrics"
Oxford college:
Nuffield College
Role:
Author
Publisher:
Applied Probability Trust Publisher's website
Journal:
Journal of Applied Probability Journal website
Volume:
41A
Pages:
133-143
Publication date:
2004-01-01
DOI:
ISSN:
0021-9002
Language:
English
Keywords:
Subjects:
UUID:
uuid:20cef61e-bd2e-44d2-af3d-e1691e8f2403
Local pid:
ora:2064
Deposit date:
2008-06-13

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