Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, … - 2008
.N. Thiele Centre for Mathematics in Natural Science,
Department of Mathematical Sciences,
University of Aarhus, Ny Munkegade, DK … qualities for
future market volatility. The theory of these new measures is spelt out, drawing on some new
results from … probability theory.
Keywords: Market frictions; Quadratic variation; Realised variance; Semimartingale; Semivari-
ance.
1
‘It was …