Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of Applied Econometrics 17 (2002) 5, pp. 457-477
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)-that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...