Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Ole Barndorff-Nielsen and Neil Shephard ()

No 2001-W4, Economics Papers from Economics Group, Nuffield College, University of Oxford

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.

Keywords: Econometrics; Higher order variation; Kalman filter; Leverage; Levy process; OU process; Quarticity; Quadratic variation; Realised volatility; Square root process; Stochastic volatility; Subordination; Superposition. (search for similar items in EconPapers)
Pages: 32pages
Date: 2000-10-26, Revised 2001-07-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
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Citations: View citations in EconPapers (38)

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Related works:
Journal Article: Econometric analysis of realized volatility and its use in estimating stochastic volatility models (2002)
Working Paper: Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0104

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