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Higher order variation and stochastic volatility models

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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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  • Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Higher order variation and stochastic volatility models," Economics Papers 2001-W8, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0108
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    File URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w8/higher.pdf
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    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford.
    2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 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 2000mf01, Oxford Financial Research Centre.
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