Power variation and stochastic volatility: a review and some new results
Year of publication: |
2003-05-01
|
---|---|
Authors: | Shephard, Neil ; Barndorff-Nielsen, Ole E. |
Institutions: | Department of Economics, Oxford University |
Subject: | Bipower | Mixed Gaussian limit | Power variation | Quadratic variation | Realised variance | Realised volatility | Stochastic volatility |
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