Higher order variation and stochastic volatility models
نویسندگان
چکیده
Limit distribution results on quadratic and higher order variation quantities are derived for certain types of continuous local martingales, in particular for a class of OU-based stochastic volatility models. Some key words: Mixed asymptotic normality; Realised volatility; Quadratic variation.
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تاریخ انتشار 2001