Power variation and stochastic volatility: a review and some new results

DOI10.1239/jap/1082552195zbMath1070.91018OpenAlexW2079725639MaRDI QIDQ4822456

Neil Shephard, Svend-Erik Graversen, Ole Eiler Barndorff-Nielsen

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/dc5313db899ed6e7397794462e26e51263b56785

zbMATH Keywords

quadratic variationrealised variancerealised volatilitybipowermixed Gaussian limit

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (10)

Convergence in total variation to a mixture of Gaussian laws ⋮ Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders ⋮ On statistical indistinguishability of complete and incomplete discrete time market models ⋮ A central limit theorem for some generalized martingale arrays ⋮ Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion ⋮ Fourier transform methods for pathwise covariance estimation in the presence of jumps ⋮ Volatility estimation from short time series of stock prices ⋮ Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors ⋮ MIDAS Regressions: Further Results and New Directions ⋮ Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator

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