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Realized Power Variation and Stochastic Volatility Models

Ole E. Barndorff-Nielsen and Neil Shephard
Bernoulli
Vol. 9, No. 2 (Apr., 2003), pp. 243-265
Stable URL: http://www.jstor.org/stable/3318939
Page Count: 23
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Realized Power Variation and Stochastic Volatility Models
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Abstract

Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information.

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