Realized power variation and stochastic volatility models
Barndorff-Nielsen, Ole E. ; Shephard, Neil
Bernoulli, Tome 9 (2003) no. 3, p. 243-265 / Harvested from Project Euclid
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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.
Publié le : 2003-04-14
Classification:  absolute returns,  mixed asymptotic normality,  $p$-variation,  quadratic variation,  realized volatility,  semimartingale 
@article{1068128977,
     author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
     title = {Realized power variation and stochastic volatility models},
     journal = {Bernoulli},
     volume = {9},
     number = {3},
     year = {2003},
     pages = { 243-265},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1068128977}
}

Barndorff-Nielsen, Ole E.; Shephard, Neil. Realized power variation and stochastic volatility models. Bernoulli, Tome 9 (2003) no. 3, pp.  243-265. http://gdmltest.u-ga.fr/item/1068128977/