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Barndorff-Nielsen, Ole E.; Shephard, Neil

Econometric analysis of realized volatility and its use in estimating stochastic volatility models. (English) Zbl 1059.62107

J. R. Stat. Soc., Ser. B, Stat. Methodol. 64, No. 2, 253-280 (2002).
Summary: The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error – the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.

Cited in 3 Reviews
Cited in 388 Documents

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62M20 Inference from stochastic processes and prediction
62E20 Asymptotic distribution theory in statistics
62M99 Inference from stochastic processes

Keywords:

Kalman filter; Leverage; Lévy process; power variation; quadratic variation; quarticity; subordination; superposition
PDFBibTeX XMLCite
\textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 64, No. 2, 253--280 (2002; Zbl 1059.62107)
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References:

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