This article is cited in 25 papers

Power variation and time change

O. E. Barndorff-Nielsen^a, N. Shephard<sup>b

a</sup> 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.

Received: 16.12.2002

Language: English

 English version: Theory of Probability and its Applications, 2006, 50:1, 1–15

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