Higher order variation and stochastic volatility models
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References listed on IDEAS
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," CORE Discussion Papers 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
More about this item
KeywordsMixed asymptotic normality; Realised volatility; Quadratic variation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- 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)
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