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

被引：17
作者：
Barndorff-Nielsen, OE
Graversen, SE
Shephard, N
机构：
[1] Aarhus Univ, Ctr Math Phys & Stochast, Dept Math Sci, DK-8000 Aarhus C, Denmark
[2] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England
来源：
JOURNAL OF APPLIED PROBABILITY | 2004年 / 41A卷
基金：
英国经济与社会研究理事会;
关键词：
bipower; mixed Gaussian limit; power variation; quadratic variation; realised variances; realised volatility; stochastic volatility;
D O I：
10.1239/jap/1082552195
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：133 / 143
页数：11
相关论文
共 34 条
1234