Journal article
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
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Authors
Funding
+ Economic and Social Research Council
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Funding agency for:
Shephard, N
Grant:
R00023839
+ Danish Social Science Research Council
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Funding agency for:
Barndorff-Nielsen, O
+ Danish National Research Foundation
More from this funder
Funding agency for:
Barndorff-Nielsen, O
Bibliographic Details
- 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
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:0677b5ae-e439-4f75-92ea-487f19eac485
- Local pid:
- ora:2244
- Deposit date:
- 2008-08-12
Related Items
Terms of use
- Copyright holder:
- John Wiley and Sons, Ltd
- Copyright date:
- 2002
- Notes:
- The full-text of this article is not currently available in ORA. Citation: Barndorff-Nielsen, O. E. & Shephard, S. (2002). 'Estimating quadratic variation using realized variance', Journal of Applied Econometrics, 17(5), 457-477. [Available at www.interscience.wiley.com].
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