Multipower Variation and Stochastic Volatility
Ole Barndorff-Nielsen () and
Neil Shephard ()
OFRC Working Papers Series from Oxford Financial Research Centre
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.
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Working Paper: Multipower Variation and Stochastic Volatility (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004fe22
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