Multipower Variation and Stochastic Volatility

Nuffield College Economics Working Paper No. 2004-W30

Posted: 6 Dec 2004

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

Abstract

In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.

Suggested Citation

Barndorff-Nielsen, Ole E. and Shephard, Neil, Multipower Variation and Stochastic Volatility. Nuffield College Economics Working Paper No. 2004-W30. Available at SSRN: https://ssrn.com/abstract=627066

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

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