Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name: Department of Mathematical Sciences,
University of Aarhus, Denmark
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuf.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford University, UK
Title: A Feasible Central Limit Theory for Realised Volatility Under Leverage
Abstract:
  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.
Keywords: Euler approximation; Functional central limit theory; Quadratic variation; Realised volatility; Stochastic volatility.
Length:13 pages
Creation-Date: 2004-02-25
Number:2004-W03
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2004/W3/leverage.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:043