"A feasible central limit theory for realised volatility under leverage" Ole E. Barndorff-Nielsen Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark and Neil Shephard Nuffield College, Oxford OX1 1NF, UK. Abstract: In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the limit theory performs well in practice. Keywords: Euler approximation; Functional central limit theory; Quadratic variation; Realised volatility; Stochastic volatility.