Higher order variation and stochastic volatility models
AbstractLimit 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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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W8.
Date of creation: 10 Jul 2001
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
Mixed asymptotic normality; Realised volatility; Quadratic variation;
Other versions of this item:
- Neil Shephard & Ole E. Barndorff-Nielsen, 2001. "Higher order variation and stochastic volatility models," Economics Series Working Papers 2001-W08, University of Oxford, Department of Economics.
- NEP-ALL-2001-10-16 (All new papers)
- NEP-ECM-2001-10-16 (Econometrics)
- NEP-ETS-2001-10-16 (Econometric Time Series)
- NEP-FIN-2001-10-16 (Finance)
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.:
- Neil Shephard & Ole E. Barndorff-Nielsen, 1999.
"Non-Gaussian OU Based Models and some of their use in Financial Economics,"
Economics Series Working Papers
1999-W09, University of Oxford, Department of Economics.
- Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995.
CORE Discussion Papers
1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
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