"Power variation & stochastic volatility: a review and some new results"
	
	
Ole E. Barndorff-Nielsen
The Centre for Mathematical Physics and Stochastics (MaPhySto),
University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark

Svend Erik Graversen 
Department of Mathematical Sciences, University of Aarhus, 
Ny Munkegade, DK-8000 Aarhus C, Denmark

and

Neil Shephard
Nuffield College, Oxford OX1 1NF, UK.
	


	

	
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.