Multipower Variation and Stochastic Volatility

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.

MoreLess

Year of publication:	2004
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil
Institutions:	Finance Research Centre, Oxford University

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729985