Estimating quadratic variation using realized variance
Year of publication: |
2002
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Shephard, Neil |
Subject: | Econometrics | realized variance | quadratic variation | semimartingales | SV models | integrated variance |
-
Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E., (2004)
-
Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E., (2006)
-
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
Hansen, Peter Reinhard, (2015)
- More ...
-
Realised power variation and stochastic volatility models
Barndorff-Nielsen, Ole E., (2003)
-
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E., (2001)
-
Power variation and stochastic volatility: a review and some new results
Barndorff-Nielsen, Ole E., (2004)
- More ...