Power variation and stochastic volatility: a review and some new results
- 1 January 2004
- journal article
- review article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 41 (A) , 133-143
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.Keywords
This publication has 18 references indexed in Scilit:
- Realized power variation and stochastic volatility modelsBernoulli, 2003
- Modeling and Forecasting Realized VolatilityEconometrica, 2003
- Rolling-Sample Volatility EstimatorsJournal of Business & Economic Statistics, 2002
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility ModelsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2002
- The distribution of realized stock return volatilityJournal of Financial Economics, 2001
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial EconomicsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2001
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- The sample autocorrelations of heavy-tailed processes with applications to ARCHThe Annals of Statistics, 1998
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesThe Journal of Finance, 1998
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993