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Multipower Variation and Stochastic Volatility

Ole Barndorff-Nielsen () and Neil Shephard ()

OFRC Working Papers Series from Oxford Financial Research Centre

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.

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 2004
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