Ole E. Barndorff-Nielsen () (The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus) Neil Shephard () (Nuffield College, Oxford)
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Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number
2001-W8.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"Integrated OU Processes,"
Economics Papers
2001-W1, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Other versions:
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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