Volatility Determination in an Ambit Process Setting

TY - UNPB

T1 - Volatility Determination in an Ambit Process Setting

AU - Barndorff-Nielsen, Ole

AU - Graversen, Svend-Erik

N1 - Published in Journal of Applied Probability. 2011;48A(special volume):263-275.

PY - 2010/10/13

Y1 - 2010/10/13

N2 - The probability limit behaviour of normalised quadratic variation is studied for a simple tempo-spatial ambit process, with particular regard to the question of volatility memorylessness.

AB - The probability limit behaviour of normalised quadratic variation is studied for a simple tempo-spatial ambit process, with particular regard to the question of volatility memorylessness.

M3 - Working paper

BT - Volatility Determination in an Ambit Process Setting

PB - Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet

CY - Århus

ER -