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

@inproceedings{Powell2002HowAI,
  title={How accurate is the asymptotic approximation to the distribution of realised variance ?},
  author={James Powell and Paul Arthur Ruud and James H. Stock},
  year={2002}
}
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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