Power Variation & Stochastic Volatility: A Review and Some New Results
Nuffield College, Oxford, Economics Working Paper No. 2003-W19
Posted: 28 May 2003
Date Written: May 2003
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.
Keywords: Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility
Suggested Citation: Suggested Citation
Barndorff-Nielsen, Ole E. and Shephard, Neil and Graversen, Svend Erik, Power Variation & Stochastic Volatility: A Review and Some New Results (May 2003). Nuffield College, Oxford, Economics Working Paper No. 2003-W19, Available at SSRN: https://ssrn.com/abstract=409161
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