Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen 
Author-Email: oebn@mi.aau.dk
Author-Workplace-Name:The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Higher order variation and stochastic volatility models
Abstract:
 Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.
Keywords: Mixed asymptotic normality; Realised volatility; Quadratic variation
Length:8pages
Creation-Date: 2001-07-10
Number:2001-W8
File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w8/higher.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0108