Multipower Variation and Stochastic Volatility

Ole Barndorff-Nielsen and Neil Shephard ()
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Neil Shephard: Nuffield College

Chapter 2 in Stochastic Finance, 2006, pp 73-82 from Springer

Abstract: Summary In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.

Keywords: Stochastic Volatility; Quadratic Variation; Unpublished Paper; Stochastic Volatility Model; Volatility Process (search for similar items in EconPapers)
Date: 2006
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Related works:
Working Paper: Multipower Variation and Stochastic Volatility (2004)
Working Paper: Multipower Variation and Stochastic Volatility (2004)
Working Paper: Multipower Variation and Stochastic Volatility (2004)
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DOI: 10.1007/0-387-28359-5_2

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