Bernoulli

  • Bernoulli
  • Volume 9, Number 2 (2003), 243-265.

Realized power variation and stochastic volatility models

Ole E. Barndorff-Nielsen and Neil Shephard

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Abstract

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.

Article information

Source
Bernoulli, Volume 9, Number 2 (2003), 243-265.

Dates
First available in Project Euclid: 6 November 2003

Permanent link to this document
https://projecteuclid.org/euclid.bj/1068128977

Digital Object Identifier
doi:10.3150/bj/1068128977

Mathematical Reviews number (MathSciNet)
MR1997029

Zentralblatt MATH identifier
1026.60054

Keywords
absolute returns mixed asymptotic normality $p$-variation quadratic variation realized volatility semimartingale

Citation

Barndorff-Nielsen, Ole E.; Shephard, Neil. Realized power variation and stochastic volatility models. Bernoulli 9 (2003), no. 2, 243--265. doi:10.3150/bj/1068128977. https://projecteuclid.org/euclid.bj/1068128977


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