Realized power variation and stochastic volatility models
Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information.
Permanent link to this document: http://projecteuclid.org/euclid.bj/1068128977
Mathematical Reviews number (MathSciNet): MR1997029
Zentralblatt MATH identifier: 1026.60054
Digital Object Identifier: doi:10.3150/bj/1068128977