Econometric analysis of realised volatility and its use in estimating stochastic volatility models
نویسندگان
چکیده
The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised 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 realised volatility error — the difference between realised volatility and the discretised integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without the recourse to the use of simulation intensive methods.
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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
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