Multipower Variation and Stochastic Volatility

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.

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Year of publication:	2004-11-01
Authors:	Shephard, Neil ; Barndorff-Nielsen, Ole E.
Institutions:	Department of Economics, Oxford University

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Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2004-FE-22
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010661377