Realised power variation and stochastic volatility models
- Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- International Statisical Institute/ Bernoulli Society
- Copyright date:
- The full-text of this article is not currently available in ORA. Citation: Barndorff-Nielsen, O. E. & Shephard, N. (2003). 'Realized power variation and stochastic volatility models', Bernoulli, 9(2), 243-265.
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