Estimating quadratic variation using realised variance

  title={Estimating quadratic variation using realised variance},
  author={Ole E. Barndorff-Nielsen and Neil Shephard},
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
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How accurate is the asymptotic approximation to the distribution of realised volatility

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