Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil; … - Economics Group, Nuffield College, University of Oxford - 2002
We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...