Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, Ole E., Shephard, Neil . Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2002. 64 (2) :253-280

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Bibtex

@article{CIS-180728,
  Author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
  Title = {Econometric analysis of realized volatility and its use in estimating stochastic volatility models},
  Journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  Volume = {64},
  Number = {2},
  Year = {2002},
  Pages = {253--280},
  Keywords = {Quadratic variation, Superposition, Lévy process, Kalman filter, Leverage, Subordination, quarticity, power variation}
}

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