Power variation and stochastic volatility: a review and some new results-Reference-Cited by-同舟云学术

Power variation and stochastic volatility: a review and some new results

Published:2004 Issue:A Volume:41 Page:133-143
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Barndorff-Nielsen Ole E.,Graversen Svend Erik,Shephard Neil

Abstract

In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference35 articles.

1. Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type

2. 5 Stochastic volatility

3. The relation between implied and realized volatility1We thank Interactive Data Corporation for providing the option price data used in this study, and David Bates, N.K. Chidambaran, Young–Ho Eom, Steven Feinstein, Stephen Figlewski, Ken French, Will Goetzmann, Bob Jarrow, Nikunj Kapadia, Cheng–Few Lee, K. Geert Rouwenhorst, Chris Sims, Suresh Sundaresan, Zhen Yu Wang, seminar participants at the American Finance Association, Boston University, European Finance Association, Financial Management Association, and the Cornell–Queens Derivative Securities Conference for useful comments. We are also grateful to G. William Schwert (the editor) and an anonymous referee for very extensive and helpful feedback.1

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