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Teoriya Veroyatnostei i ee Primeneniya, 2005, Volume 50, Issue 1, Pages 115–130 (Mi tvp4077)  
This article is cited in 21 scientific papers (total in 21 papers)

Power variation and time change

O. E. Barndorff-Nielsena, N. Shephardb

a University of Aarhus
b University of Oxford
Full-text PDF (1279 kB) Citations (21)
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Abstract: This paper provides limit distribution results for power variation, that is, sums of powers of absolute increments under nonequidistant subdivisions of time and 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.
Keywords: power variation, $r$-variation, realized variance, semimartingales, stochastic volatility, time change.
Received: 16.12.2002
English version:
Theory of Probability and its Applications, 2006, Volume 50, Issue 1, Pages 1–15
DOI: https://doi.org/10.1137/S0040585X97981482
Bibliographic databases:
Document Type: Article
Language: English
Citation: O. E. Barndorff-Nielsen, N. Shephard, “Power variation and time change”, Teor. Veroyatnost. i Primenen., 50:1 (2005), 115–130; Theory Probab. Appl., 50:1 (2006), 1–15
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
\yr 2006
\vol 50
\issue 1
\pages 1--15
\crossref{https://doi.org/10.1137/S0040585X97981482}
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  • https://www.mathnet.ru/eng/tvp4077
  • https://www.mathnet.ru/eng/tvp/v50/i1/p115
    • This publication is cited in the following 21 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:52
     
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