Svend Erik Graversen

University of Aarhus - Department of Mathematical Sciences

DK-8000 Aarhus

Denmark

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Nuffield College Economics Working Paper No. 2004-W29
Posted: 06 Dec 2004
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - Department of Mathematical Sciences, Université Paris VI Pierre et Marie Curie, University of Heidelberg - Institute of Applied Mathematics and Harvard University

Abstract:

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Central limit theorem, quadratic variation, bipower variation

2.

Power Variation & Stochastic Volatility: A Review and Some New Results

Nuffield College, Oxford, Economics Working Paper No. 2003-W19
Posted: 28 May 2003
Ole E. Barndorff-Nielsen, Neil Shephard and Svend Erik Graversen
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Harvard University and University of Aarhus - Department of Mathematical Sciences

Abstract:

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Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility

3.

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

European Finance Review, Vol. 4, No. 2
Posted: 11 Sep 2001
Peter O. Christensen, Svend Erik Graversen and Kristian R. Miltersen
Copenhagen Business School - Department of Finance, University of Aarhus - Department of Mathematical Sciences and Copenhagen Business School

Abstract:

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Consumption-based capital asset pricing model, CCAPM, dynamic trading