Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen 
Author-Email: oebn@mi.aau.dk
Author-Workplace-Name:The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Realised power variation and stochastic volatility models 
Abstract:
 Limit distribution results on realised 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 cover, for example, the cases of realised volatility and realised absolute variation.  Such results should be helpful in, for example, the analysis of volatility models using high frequency information.
Keywords: Absolute returns; Mixed asymptotic normality; Realised volatility; p-variation; Quadratic variation; Semimartingale.
Length:23 pages
Creation-Date: 2001-10-03
Number:2001-W18
File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w18/rth_order.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0118