Measuring and forecasting financial variability using realised variance with and without a model.

Measuring and forecasting financial variability using realised variance with and without a model.

We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known character...

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Dettagli Bibliografici
Autori principali:	Barndorff-Nielsen, O, Nielsen, B, Shephard, N, Ysusi, C
Natura:	Working paper
Lingua:	English
Pubblicazione:	Nuffield College (University of Oxford) 2002

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