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

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

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Year of publication:	2001-08-10
Authors:	Barndorff-Nielsen, Ole E. ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Levy process \| Mixed Gaussian limit \| OU process \| Quadratic variation \| Realised power variation \| Realised volatility \| Square root process \| Stochastic volatility \| Superposition

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2001-W16 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005549199