How accurate is the asymptotic approximation to the distribution of realised volatility?

Ole Barndorff-Nielsen and Neil Shephard ()

No 2001-W16, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: In this paper we study the reliability of the mixed normal asymptotic distribution of realised volatility error, which we have previously derived using the theory of realised power variation. Our experiments suggests that the asymptotics is reliable when we work with the logarithmic transform of the realised volatility.

Keywords: Levy process; Mixed Gaussian limit; OU process; Quadratic variation; Realised power variation; Realised volatility; Square root process; Stochastic volatility; Superposition. (search for similar items in EconPapers)
Pages: 15 pages
Date: 2001-08-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0116

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