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Power Variation and Time Change

This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial econometrics.
Year of publication:
2002-11-01
Authors: Shephard, Neil ; Barndorff-Nielsen, Ole E.
Institutions: Department of Economics, Oxford University
Subject: Power variation | r-variation | Realised variance | Semimartingales | Stochastic volatility | Time-change
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 2002-W24
Source:
Persistent link: https://www.econbiz.de/10010604911
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