Power Variation and Time Change

Ole Barndorff-Nielsen and Neil Shephard ()

No 2002-W24, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $\alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics.

Keywords: Power variation; r-variation; Realised variance; Semimartingales; Stochastic volatility; Time-change. (search for similar items in EconPapers)
Pages: 22 pages
Date: 2002-12-16
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0224

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