Advanced Search
MyIDEAS: Login to save this paper or follow this series

Power variation & stochastic volatility: a review and some new results

Contents:

Author Info

  • Ole E. Barndorff-Nielsen

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

  • Svend Erik Graversen

    ()
    (Department of Mathematical Sciences, University of Aarhus, Denmark)

  • Neil Shephard

    ()
    (Nuffield College, University of Oxford, UK)

Abstract

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W19/heyde2.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2003-W19.

as in new window
Length: 13 pages
Date of creation: 15 Sep 2003
Date of revision:
Handle: RePEc:nuf:econwp:0319

Contact details of provider:
Web page: http://www.nuff.ox.ac.uk/economics/

Related research

Keywords: Bipower; Mixed Gaussian limit; Power variation; Quadratic variation; Realised variance; Realised volatility; Stochastic volatility.;

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.
  2. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, American Economic Association, vol. 76(5), pages 1142-51, December.
  3. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 115-158, June.
  4. Neil Shephard & Ole E. Barndorff-Nielsen, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Series Working Papers, University of Oxford, Department of Economics 2003-W18, University of Oxford, Department of Economics.
  5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, Econometric Society, vol. 71(2), pages 579-625, March.
  6. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, Royal Statistical Society, vol. 64(2), pages 253-280.
  7. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W18, Economics Group, Nuffield College, University of Oxford.
  8. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers, Economics Group, Nuffield College, University of Oxford 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
  9. Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series, Oxford Financial Research Centre 2003mf05, Oxford Financial Research Centre.
  10. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-059, New York University, Leonard N. Stern School of Business-.
  11. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, Royal Statistical Society, vol. 63(2), pages 167-241.
  12. Jeannette H.C. Woerner, 2002. "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series, Oxford Financial Research Centre 2002mf05, Oxford Financial Research Centre.
  13. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 50(2), pages 125-150, November.
  14. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers, CIRANO 2000s-19, CIRANO.
  15. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W17, Economics Group, Nuffield College, University of Oxford.
  16. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  17. Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(4), pages 317-340, December.
  18. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 61(1), pages 43-76, July.
  19. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 281-300, June.
  20. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, American Finance Association, vol. 44(5), pages 1115-53, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series, Center for Financial Studies (CFS) 2003/35, Center for Financial Studies (CFS).
  2. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers, Economics Group, Nuffield College, University of Oxford 2003-W21, Economics Group, Nuffield College, University of Oxford.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nuf:econwp:0319. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.