How accurate is the asymptotic approximation to the distribution of realised variance

In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of the realised variance.

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Year of publication:	2002-06-01
Authors:	Shephard, Neil ; Barndorff-Nielsen, Ole E.
Institutions:	Department of Economics, Oxford University
Subject:	Levy process \| Mixed Gaussian limit \| OU process \| Quadratic variation \| Realised power variation \| Realised variance \| Realised volatility \| Square root process \| Stochastic volatility \| Superposition

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001-W16
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010604906