A Feasible Central Limit Theory for Realised Volatility Under Leverage.
In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the li...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2004
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| _version_ | 1797099746553233408 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the limit theory performs well in practice. |
| first_indexed | 2024-03-07T05:27:58Z |
| format | Working paper |
| id | oxford-uuid:e13433c5-060e-40dd-a092-dce707165163 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:27:58Z |
| publishDate | 2004 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:e13433c5-060e-40dd-a092-dce7071651632022-03-27T09:52:50ZA Feasible Central Limit Theory for Realised Volatility Under Leverage.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:e13433c5-060e-40dd-a092-dce707165163EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2004Barndorff-Nielsen, OShephard, NIn this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the limit theory performs well in practice. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title | A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title_full | A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title_fullStr | A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title_full_unstemmed | A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title_short | A Feasible Central Limit Theory for Realised Volatility Under Leverage. |
| title_sort | feasible central limit theory for realised volatility under leverage |
| work_keys_str_mv | AT barndorffnielseno afeasiblecentrallimittheoryforrealisedvolatilityunderleverage AT shephardn afeasiblecentrallimittheoryforrealisedvolatilityunderleverage AT barndorffnielseno feasiblecentrallimittheoryforrealisedvolatilityunderleverage AT shephardn feasiblecentrallimittheoryforrealisedvolatilityunderleverage |