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Power Variation and Time Change

Abstract

This paper provides limit distribution results for power variation, that is sums of powers of absolute inCREM ents, for certain types of time-changed Brownian motion and $\alpha $-stable processes. Special cases of these processes are Stochastic volatility models used extensively in Financial econometrics .

Authors:

Ole E. Barndorff-Nielsen & Neil SHEPHARD (2002)

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Power Variation and Time Change
http://ideas.repec.org/p/nuf/econwp/0224.html



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