Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email:oebn@mi.aau.dk
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Author-Workplace-Name:The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus
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Author-Name: Neil Shephard
Author-Email:neil.shephard@nuffield.ox.ac.uk
Author-Homepage:http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Abstract:
 The availability of intra-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.
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Keywords: Econometrics; Higher order variation; Kalman filter; Leverage; Levy process; OU process; Quarticity; Quadratic variation; Realised volatility; Square root process; Stochastic volatility; Subordination; Superposition.
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Length:32pages
Creation-Date: 2000-10-26
Revision-Date: 2001-07-05   
Number:2001-W4
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File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w4/realised.pdf
File-Format: application/pdf
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Handle: RePEc:nuf:econwp:0104