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

Nuffield College, Oxford, Economics Working Paper No. 2003-W19

Posted: 28 May 2003

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Neil Shephard

Harvard University

Svend Erik Graversen

University of Aarhus - Department of Mathematical Sciences

Date Written: May 2003

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.

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

Suggested Citation

Barndorff-Nielsen, Ole E. and Shephard, Neil and Graversen, Svend Erik, Power Variation & Stochastic Volatility: A Review and Some New Results (May 2003). Nuffield College, Oxford, Economics Working Paper No. 2003-W19. Available at SSRN: https://ssrn.com/abstract=409161

Ole E. Barndorff-Nielsen

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

Ny Munkegade
Aarhus, DK 8000
Denmark

Neil Shephard (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Svend Erik Graversen

University of Aarhus - Department of Mathematical Sciences ( email )

DK-8000 Aarhus
Denmark

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