Power variation & stochastic volatility: a review and some new results
Year of publication: |
2003-09-15
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Graversen, Svend Erik ; Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Bipower | Mixed Gaussian limit | Power variation | Quadratic variation | Realised variance | Realised volatility | Stochastic volatility |
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