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How accurate is the asymptotic approximation to the distribution of realised volatility?

Abstract:
In this paper we study the reliability of the mixed normal asymptotic distribution of realised volatility error, which we have previously derived using the theory of realised power variation. Our experiments suggests that the asymptotics is reliable when we work with the logarithmic transform of the realised volatility.

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Authors


Ole E. Barndorff-Nielsen More by this author
Neil Shephard More by this author
Series:
Economics Working Papers
Publication date:
2001
URN:
uuid:2ea0a098-a1ed-437e-8d71-102ad1aca79b
Local pid:
oai:economics.ouls.ox.ac.uk:11879
Language:
English

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