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 (as M approaches infinity) estimator of quadratic variation (QV). We express concern that without additional assumptions it seems diffic...

Publisher copy:
10.1002/jae.691

### Authors

Journal:
Journal of Applied Econometrics
Volume:
17
Issue:
5
Publication date:
2002-01-01
DOI:
URN:
Local pid:
oai:economics.ouls.ox.ac.uk:14172
Language:
English