A feasible central limit theory for realised volatility under leverage

Ole Barndorff-Nielsen and Neil Shephard ()

OFRC Working Papers Series from Oxford Financial Research Centre

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.

Date: 2004
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets, nep-fin, nep-fmk and nep-rmg
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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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