Chaptergreen2005

How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance?

Ole Eiler Barndorff-Nielsen · Neil Shephard

69 citations0/0 files storedCambridge University Press eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

In this paper we study the reliability of the mixed normal asymptotic distribution of realized variance error, which we have previously derived using the theory of realized power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of the realized variance. INTRODUCTION Tom Rothenberg's outstanding teaching and research has raised the level of understanding econometricians have of the asymptotic properties of estimators and testing procedures used in economics. His frequent trips away from the United States, and his particular kindness to research students during his academic visits, has spread his influence changing the way we carry out theoretical econometric research. This paper touches on some of Tom's research interests. It will look at the effectiveness of an asymptotic theory. His influential paper Rothenberg (1984) was devoted to issues of this type. The Model This paper assesses the accuracy of the mixed normal asymptotic approximation to the distribution of realized variance (that is the sum of squares of financial returns) we recently derived in Barndorff-Nielsen and Shephard (2002) and extended in Barndorff-Nielsen and Shephard (2003, 2004). This theory assumes a flexible stochastic volatility (SV) model for log prices. In the SV model for log prices a basic Brownian motion is generalized to allow the volatility term to vary over time.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 69 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 1980Long memory relationships and the aggregation of dynamic models

Cited by

2015Forecasting realized volatility with changing average levels 2010Box–Cox transforms for realized volatility 2014Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 2015Extreme asymmetric volatility: Stress and aggregate asset prices

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.