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]
Authors:	Barndorff-Nielsen, Ole E.
Other Persons:	Shephard, Neil G. (contributor)
Publisher:	[2004]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 14, 2004 erstellt Volltext nicht verfügbar
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012785898