A Feasible Central Limit Theory for Realised Volatility Under Leverage

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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Year of publication:	2004-02-25
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Euler approximation \| Functional central limit theory \| Quadratic variation \| Realised volatility \| Stochastic volatility

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2004-W03 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730345