Power variation and stochastic volatility: A review and some new results

Journal of Applied Probability

Volumn 41A, Issue , 2004, Pages 133-143

  Barndorff Nielsen, Ole E ^a   Graversen, Svend Erik ^a   Shephard, Neil ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Bipower; Mixed Gaussian limit; Power variation; Quadratic variation; Realised variance; Realised volatility; Stochastic volatility

Indexed keywords

EID: 2642559330     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1082552195     Document Type: Article

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