Higher order variation and stochastic volatility models

Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

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Year of publication:	2001-07-10
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Mixed asymptotic normality \| Realised volatility \| Quadratic variation

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2001-W8 8 pages longages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730376