Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 64, Issue 2, 2002, Pages 253-280

  Barndorff Nielsen, Ole E ^a   Shephard, Neil ^a  

^a NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Kalman filter; Leverage; L vy process; Power variation; Quadratic variation; Quarticity; Realized volatility; Stochastic volatility; Subordination; Superposition

Indexed keywords

EID: 0036012995     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9868.00336     Document Type: Article

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