Realised Power Variation and Stochastic Volatility Models

Nuffield College, Economics Working Paper No. 2001-W18

Posted: 31 Aug 2001

See all articles by Neil Shephard

Neil Shephard

Harvard University

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Date Written: August 19, 2001

Abstract

Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realised volatility and realised absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high frequency information.

Keywords: Absolute returns, Mixed asymptotic normality, Realised volatility, p-variation, Quadratic variation

Suggested Citation

Shephard, Neil and Barndorff-Nielsen, Ole E., Realised Power Variation and Stochastic Volatility Models (August 19, 2001). Nuffield College, Economics Working Paper No. 2001-W18. Available at SSRN: https://ssrn.com/abstract=280770

Neil Shephard (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

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