Realized power variation and stochastic volatility model

DOI10.3150/bj/1068128977zbMath1039.60046OpenAlexW2007910409MaRDI QIDQ1431540

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 10 June 2004

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1068128977

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Generalizations of martingales (60G48)

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