Power variation & stochastic volatility: a review and some new results

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.

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Year of publication:	2003-09-15
Authors:	Barndorff-Nielsen, Ole E. ; Graversen, Svend Erik ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Bipower \| Mixed Gaussian limit \| Power variation \| Quadratic variation \| Realised variance \| Realised volatility \| Stochastic volatility

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2003-W19 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730325