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Teor. Veroyatnost. i Primenen., 2005, Volume 50, Issue 1, Pages 115–130 (Mi tvp4077)  

This article is cited in 9 scientific papers (total in 9 papers)

Power variation and time change

O. E. Barndorff-Nielsena, N. Shephardb

a University of Aarhus
b University of Oxford

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.

Full text: PDF file (1279 kB)
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English version:
Theory of Probability and its Applications, 2006, 50:1, 1–15

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Received: 16.12.2002
Language:

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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\paper Power variation and time change
\jour Teor. Veroyatnost. i Primenen.
\yr 2005
\vol 50
\issue 1
\pages 115--130
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\zmath{https://zbmath.org/?q=an:1095.60023}
\elib{http://elibrary.ru/item.asp?id=9153108}
\transl
\jour Theory Probab. Appl.
\yr 2006
\vol 50
\issue 1
\pages 1--15
\crossref{https://doi.org/10.1137/S0040585X97981482}
\isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=000236850700001}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Woerner J.H.C., “Inference in Levy–type stochastic volatility models”, Advances in Applied Probability, 39:2 (2007), 531–549  crossref  mathscinet  zmath  isi  scopus
    2. Manuel Corcuera J., Nualart D., Woerner J.H.C., “A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes”, Stoch. Anal. Appl., 25:1 (2007), 169–186  crossref  mathscinet  zmath  isi  scopus
    3. Barndorff-Nielsen O.E., Hansen P.R., Lunde A., Shephard N., “Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise”, Econometrica, 76:6 (2008), 1481–1536  crossref  mathscinet  zmath  isi  scopus
    4. McAleer M., Medeiros M.C., “Realized volatility: A review”, Econometric Reviews, 27:1–3 (2008), 10–45  crossref  mathscinet  zmath  isi  scopus
    5. Manuel Corcuera J., Farkas G., “Power Variation for Ito Integrals with Respect to Alpha-Stable Processes”, Stat. Neerl., 64:3, SI (2010), 276–289  crossref  mathscinet  isi  scopus
    6. Fukasawa M., “Realized Volatility with Stochastic Sampling”, Stoch. Process. Their Appl., 120:6 (2010), 829–852  crossref  mathscinet  zmath  isi  elib  scopus
    7. Hayashi T., Jacod J., Yoshida N., “Irregular sampling and central limit theorems for power variations: The continuous case”, Ann Inst Henri Poincaré Probab Stat, 47:4 (2011), 1197–1218  crossref  mathscinet  zmath  adsnasa  isi  scopus
    8. Barndorff-Nielsen O.E., Hansen P.R., Lunde A., Shephard N., “Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading”, J Econometrics, 162:2 (2011), 149–169  crossref  mathscinet  zmath  isi  scopus
    9. Vetter M., “Estimation of Correlation for Continuous Semimartingales”, Scand. J. Stat., 39:4 (2012), 757–771  crossref  mathscinet  zmath  isi  scopus
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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