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:	2001-07-01
Authors:	Shephard, Neil ; Barndorff-Nielsen, Ole E.
Institutions:	Department of Economics, Oxford University
Subject:	Mixed asymptotic normailty \| Realised volatility \| Quadratic variation

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Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001-W08
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010661336