A feasible central limit theory for realised volatility under leverage

Neil Shephard and Ole Barndorff-Nielsen

No 2004-FE-03, Economics Series Working Papers from University of Oxford, Department of Economics

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)
Date: 2003-01-01
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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 (2004)
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