Approximation of normed power variation to integrated volatility

MaRDI QIDQ2885843zbMATH OpenFDO

Authors Xueqiang Wang

Publication date 1 June 2012

Published in Acta Scientiarum Naturalium Universitatis Nankaiensis (Search for Journal in Brave)

zbMATH Keywords

integrated volatilityLévy processpower variationstochastic volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
• Estimation of integrated volatility in stochastic volatility models
• Realized power variation and stochastic volatility models
• A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
• Asymptotic properties of power variations of Lévy processes

Cited in

(1)

• Realized power variation and stochastic volatility model

This page was built for publication: Approximation of normed power variation to integrated volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2885843)