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Realised power variation and stochastic volatility models

Abstract:
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:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.3150/bj/1068128977

Authors


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Institution:
University of Aarhus
Role:
Author
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Nuffield College
Role:
Author
Publisher:
Bernoulli Society for Mathematical Statistics and Probability Publisher's website
Journal:
Bernoulli Journal website
Volume:
9
Issue:
2
Pages:
243-265
Publication date:
2003-04-01
DOI:
ISSN:
1350-7265
Language:
English
Keywords:
Subjects:
UUID:
uuid:47675e19-08a6-4588-b989-5e2ca3cbfce3
Local pid:
ora:2243
Deposit date:
2008-08-12

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