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Multipower Variation and Stochastic Volatility

Ole E. Barndorff-Nielsen
Department of Mathematical Sciences,
University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark

Neil Shephard
Nuffield College, Oxford OX1 1NF, UK.


In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.

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