Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2000
measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we … derive the moments and the asymptotic distribution of the realised volatility error - the difference between realised … volatility and the actual volatility. These properties can be used to allow us to estimate the parameters of stochastic …