Estimation of integrated volatility in stochastic volatility models

Applied Stochastic Models in Business and Industry

Volumn 21, Issue 1, 2005, Pages 27-44

  Woerner, Jeannette H C ^a  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

Author keywords

Fractional brownian motion; High frequency data; Jump process; Limit theorem; Power variation; Quadratic variation; Semimartingale; Stochastic volatility

Indexed keywords

DATA PROCESSING; EQUATIONS OF MOTION; ERROR ANALYSIS; MATHEMATICAL MODELS; QUADRATIC PROGRAMMING; ROBUSTNESS (CONTROL SYSTEMS); SAMPLING; THEOREM PROVING;

FRACTIONAL BROWNIAN MOTION; HIGH-FREQUENCY DATA; JUMP PROCESS; LIMIT THEOREMS; POWER VARIATIONS; QUADRATIC VARIATION; SEMITRIANGALES; STOCHASTIC VOLATILITY;

RANDOM PROCESSES;

EID: 14244251033     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.548     Document Type: Article

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