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
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.
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Working Paper: A Feasible Central Limit Theory for Realised Volatility Under Leverage (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004fe03
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