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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 2001-20
July 2001

Higher order variation and stochastic volatility models


Ole E. Barndorff-Nielsen

Neil Shephard


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.

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This paper has now been published in Extended version has appeared in J.R. Statist. Soc. B 64 (2002), 253-280