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Estimating quadratic variation using realized variance

Abstract:

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 semimartingale we recall the fundamental result that RV is a consistent estimator of quadratic variation (QV). We express concern that without additional assumptions it seems difficult to give any measure of...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1002/jae.691

Authors


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Institution:
University of Aarhus
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Nuffield College
Role:
Author
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Funding agency for:
Shephard, N
Grant:
R00023839
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Funding agency for:
Barndorff-Nielsen, O
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Funding agency for:
Barndorff-Nielsen, O
Publisher:
John Wiley & Sons, Ltd. Publisher's website
Journal:
Journal of applied econometrics Journal website
Volume:
17
Issue:
5
Pages:
457-477
Publication date:
2002-10-28
DOI:
ISSN:
0883-7252
Language:
English
Keywords:
Subjects:
UUID:
uuid:0677b5ae-e439-4f75-92ea-487f19eac485
Local pid:
ora:2244
Deposit date:
2008-08-12

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