Template-type: ReDIF-Paper 1.0
Author-Name: Ole Barndorff-Nielsen 
Author-Workplace-Name: University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford, UK
Title: Multipower Variation and Stochastic Volatility
Abstract: In this brief note we review some of our recent results on the use of high frequency
financial data to estimate objects like integrated variance in stochastic volatility models.
Interesting issues include multipower variation, jumps and market microstructure effects.
Length: 9 pages
Creation-Date:2004-11-18
Number:2004-W30
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w30/lisbonrev.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0430