Power variation & stochastic volatility: a review and some new results

Ole Barndorff-Nielsen, Svend Erik Graversen () and Neil Shephard ()
Additional contact information
Svend Erik Graversen: Department of Mathematical Sciences, University of Aarhus, Denmark

No 2003-W19, Economics Papers from Economics Group, Nuffield College, University of Oxford

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. (search for similar items in EconPapers)
Pages: 13 pages
Date: 2003-09-15
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.nuff.ox.ac.uk/economics/papers/2003/W19/heyde2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0319

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().