A Feasible Central Limit Theory for Realised Volatility Under Leverage

Ole Barndorff-Nielsen and Neil Shephard (shephard@fas.harvard.edu)

No 2004-W03, Economics Papers from Economics Group, Nuffield College, University of Oxford

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. (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-02-25
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: A feasible central limit theory for realised volatility under leverage (2004)
Working Paper: A feasible central limit theory for realised volatility under leverage (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:043

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