Realized power variation and stochastic volatility models
From MaRDI portal
Publication:1395938
DOI10.3150/bj/1068128977zbMath1026.60054OpenAlexW2007910409MaRDI QIDQ1395938
Neil Shephard, Ole Eiler Barndorff-Nielsen
Publication date: 2 December 2003
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1068128977
Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Generalizations of martingales (60G48)
Related Items (40)
A law of iterated logarithm for the subfractional Brownian motion and an application ⋮ Monitoring disruptions in financial markets ⋮ Predicting volatility: getting the most out of return data sampled at different frequencies ⋮ A two-stage realized volatility approach to estimation of diffusion processes with discrete data ⋮ Power variation of some integral fractional processes ⋮ Power variation and stochastic volatility: a review and some new results ⋮ Horizon effect in the term structure of long-run risk-return trade-offs ⋮ Convergence of some random functionals of discretized semimartingales ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ Central limit theorems for martingales. I: Continuous limits ⋮ On the convergence of two types of estimators of quadratic variation ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums ⋮ Stationary infinitely divisible processes ⋮ Unnamed Item ⋮ Power variation of multiple fractional integrals ⋮ Volatility regressions with fat tails ⋮ Inequivalence of nonequilibrium path ensembles: the example of stochastic bridges ⋮ Asymptotic properties of realized power variations and related functionals of semimartingales ⋮ Tempered stable distributions and processes ⋮ Limit theorems for power variations of pure-jump processes with application to activity estima\-tion ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Inference in Lévy-type stochastic volatility models ⋮ Limit theorems for multipower variation in the presence of jumps ⋮ Nonparametric estimation of jump diffusion models ⋮ A note on chaotic and predictable representations for Itô–Markov additive processes ⋮ Efficient simulation of Lévy-driven point processes ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ Realized jumps on financial markets and predicting credit spreads ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Estimation of quadratic variation for two-parameter diffusions ⋮ Power variation for Gaussian processes with stationary increments ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Exact simulation of Ornstein–Uhlenbeck tempered stable processes ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ Analytically pricing volatility swaps under stochastic volatility ⋮ Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index
This page was built for publication: Realized power variation and stochastic volatility models
