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:	2003-01-01
Authors:	Shephard, Neil ; Barndorff-Nielsen, Ole
Institutions:	Department of Economics, Oxford University
Subject:	Euler approximation \| Functional central limit theory \| Quadratic variation \| Realised volatility \| Stochastic volatility

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Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2004-FE-03
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010661378