Hansen, Peter Reinhard; Horel, Guillaume - School of Economics and Management, University of Aarhus - 2009
; Quadratic Variation; Integrated
Variance; Realized Variance; High Frequency Data.
JEL Classi�cation: C10; C22; C80 … formulation, the time varying generator is in�nitely dimensional, which
makes it an arduous task to estimate the integrated … variance without imposing some struc-
ture. A major simpli�cation is achieved by assuming the existence of a volatility time …