Power variation and time change

Theory of Probability and its Applications

Volumn 50, Issue 1, 2005, Pages 1-15

  Barndorff Nielsen, O E ^a   Shephard, N ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Power variation; r variation; Realized variance; Semimartingales; Stochastic volatility; Time change

Indexed keywords

EID: 33646072161     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi022     Document Type: Article

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