Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff-Nielsen and Neil Shephard
Journal of the Royal Statistical Society. Series B (Statistical Methodology)
Vol. 64, No. 2 (2002), pp. 253-280
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/3088799
Page Count: 28
  • Read Online (Free)
  • Download ($29.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models
Preview not available

Abstract

The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error-the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.

Page Thumbnails

  • Thumbnail: Page 
[253]
    [253]
  • Thumbnail: Page 
254
    254
  • Thumbnail: Page 
255
    255
  • Thumbnail: Page 
256
    256
  • Thumbnail: Page 
257
    257
  • Thumbnail: Page 
258
    258
  • Thumbnail: Page 
259
    259
  • Thumbnail: Page 
260
    260
  • Thumbnail: Page 
261
    261
  • Thumbnail: Page 
262
    262
  • Thumbnail: Page 
263
    263
  • Thumbnail: Page 
264
    264
  • Thumbnail: Page 
265
    265
  • Thumbnail: Page 
266
    266
  • Thumbnail: Page 
267
    267
  • Thumbnail: Page 
268
    268
  • Thumbnail: Page 
269
    269
  • Thumbnail: Page 
270
    270
  • Thumbnail: Page 
271
    271
  • Thumbnail: Page 
272
    272
  • Thumbnail: Page 
273
    273
  • Thumbnail: Page 
274
    274
  • Thumbnail: Page 
275
    275
  • Thumbnail: Page 
276
    276
  • Thumbnail: Page 
277
    277
  • Thumbnail: Page 
278
    278
  • Thumbnail: Page 
279
    279
  • Thumbnail: Page 
280
    280