Estimating quadratic variation using realised variance

@inproceedings{BarndorffNielsen2002EstimatingQV,
  title={Estimating quadratic variation using realised variance},
  author={Ole E. Barndorff-Nielsen and Neil Shephard},
  year={2002}
}
This paper looks at some recent work on estimating quadratic variation using realised variance (RV) — that is sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M → ∞) estimator of quadratic variation (QV). We express concern that without additional assumptions it seems difficult to give any… CONTINUE READING
Highly Influential
This paper has highly influenced 21 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 108 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.
82 Citations
39 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 82 extracted citations

108 Citations

0510'02'05'09'13'17
Citations per Year
Semantic Scholar estimates that this publication has 108 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 39 references

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

  • O. E. Barndorff-Nielsen, N. Shephard
  • 2001
Highly Influential
8 Excerpts

Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics (with discussion)

  • O. E. Barndorff-Nielsen, N. Shephard
  • Journal of the Royal Statistical Society, Series…
  • 2001
Highly Influential
8 Excerpts

Beyond Merton’s utopia: effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data

  • X. Bai, J. R. Russell, G. C. Tiao
  • Unpublished paper: Graduate School of Business…
  • 2000
Highly Influential
4 Excerpts

Stochastic Integration and Differential Equations: A New Approach

  • P. Protter
  • New York: Springer-Verlag.
  • 1990
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…