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Research . 2016
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Part of book or chapter of book . 2006
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https://doi.org/10.1007/0-387-...
Part of book or chapter of book . 2006 . Peer-reviewed
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Multipower Variation and Stochastic Volatility

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type , Research , Preprint 02 Jun 2006 United Kingdom English Publisher:Kluwer Academic Publishers
Authors: Barndorff-Nielsen, Ole Eiler; Shephard, N.;

doi: 10.1007/0-387-28359-5_2

Multipower Variation and Stochastic Volatility

Abstract

In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
9
Average
Average
Average
Green
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