Higher order variation and stochastic volatility models

Ole Barndorff-Nielsen and Neil Shephard (shephard@fas.harvard.edu)

No 2001-W8, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

Keywords: Mixed asymptotic normality; Realised volatility; Quadratic variation (search for similar items in EconPapers)
Pages: 8pages
Date: 2001-07-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0108

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