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Higher order variation and stochastic volatility models

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Author Info

  • Ole E. Barndorff-Nielsen

    ()
    (The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus)

  • Neil Shephard

    ()
    (Nuffield College, Oxford)

Abstract

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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File URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w8/higher.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W8.

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Length: 8pages
Date of creation: 10 Jul 2001
Date of revision:
Handle: RePEc:nuf:econwp:0108

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Web page: http://www.nuff.ox.ac.uk/economics/

Related research

Keywords: Mixed asymptotic normality; Realised volatility; Quadratic variation;

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  1. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W1, Economics Group, Nuffield College, University of Oxford.
  2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers, Toulouse - GREMAQ 95.400, Toulouse - GREMAQ.
  3. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series, Oxford Financial Research Centre 2000mf01, Oxford Financial Research Centre.
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