Econometric analysis of realised volatility and its use in estimating stochastic volatility models
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 we derive the moments and the asymptotic distribution of th...
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| Format: | Working paper |
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University of Oxford
2001
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