[MaPhySto logo]
MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 2001-20
July 2001




Higher order variation and stochastic volatility models

by:

Ole E. Barndorff-Nielsen

Neil Shephard

Abstract

Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models.

Availability: [ pdf-file ]

[ Help on down-loading/viewing/printing ]

This paper has now been published in Extended version has appeared in J.R. Statist. Soc. B 64 (2002), 253-280