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.
Abstract
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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