Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name:University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Workplace-Name:Nuffield College, University of Oxford
Title: Power Variation and Time Change
Abstract:
  This paper provides limit distribution results for power variation,
  that is sums of powers of absolute increments, for certain types of 
  time-changed Brownian motion and $\alpha $-stable processes. Special 
  cases of these processes are stochastic volatility models used extensively
  in financial econometrics.
Keywords: Power variation, r-variation, Realised variance, Semimartingales, 
  Stochastic volatility, Time-change.
Length:22 pages
Creation-Date: 2002-12-16
Number:2002-W24
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2002/w24/pvtc.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0224