Multipower Variation and Stochastic Volatility

Neil Shephard, Ole Barndorff-Nielsen, Department of Mathematical Sciences and University of Aarhus

No 2004-FE-22, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: 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.

Date: 2004-11-01
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Working Paper: Multipower Variation and Stochastic Volatility (2004)
Working Paper: Multipower Variation and Stochastic Volatility (2004)
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