Article contents
Volatility determination in an ambit process setting
Published online by Cambridge University Press: 14 July 2016
Abstract
The limit behaviour in probability of realised quadratic variation is discussed under a relatively simple ambit process setting. The relation of this to the underlying volatility/intermittency field is in focus, especially as concerns the question of no volatility/intermittency memory.
MSC classification
- Type
- Part 6. Statistics
- Information
- Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 263 - 275
- Copyright
- Copyright © Applied Probability Trust 2011
References
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