Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email:oebn@imf.au.dk
Author-Workplace-Name: The Centre for Mathematical Physics and Stochastics (MaPhySto),
University of Aarhus, Denmark
Author-Name: Svend Erik Graversen
Author-Email:matseg@imf.au.dk
Author-Workplace-Name: Department of Mathematical Sciences, University of Aarhus, Denmark
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuf.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford, UK
Title: Power variation & stochastic volatility: a review and some new results
Abstract:
  In this paper we review some recent work on limit results on realised power variation, that
is sums of powers of absolute increments of various semimartingales. A special case of this
analysis is realised variance and its probability limit, quadratic variation. Such quantities
often appear in financial econometrics in the analysis of volatility. The paper also provides
some new results and discusses open issues.
Keywords:Bipower; Mixed Gaussian limit; Power variation; Quadratic variation; Realised
variance; Realised volatility; Stochastic volatility.
Length:13 pages
Creation-Date: 2003-09-15
Number:2003-W19
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W19/heyde2.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0319