English, Article, Journal or magazine article edition: Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models Ole E. Barndorff-Nielsen; Neil Shephard

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Bookmark: http://trove.nla.gov.au/version/21117
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Author
  • Ole E. Barndorff-Nielsen
  • Neil Shephard
Physical Description
  • preprint
Notes
  • The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we derive the moments and the asymptotic distribution of the realised volatility error - the difference between realised volatility and the actual volatility. These properties can be used to allow us to estimate the parameters of stochastic volatility models.
  • econometrics, higher order variation, Kalman filter, leverage, lévy process, OU process, quarticity, quadratic variation, realised volatility, square root process, stochastic volatility, subordination, superposition.
  • RePEc:oxf:wpaper:071
  • Econometrics; Higher order variation; Kalman filter; Leverage; Levy process; OU process; Quarticity; Quadratic variation; Realised volatility; Square root process; Stochastic volatility; Subordination; Superposition.
  • RePEc:nuf:econwp:0104
Language
  • English
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