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

Citation:

Barndorff-Nielsen, Ole E., and Neil Shephard. 2002. “Econometric analysis of realised volatility and its use in estimating stochastic volatility models.” Journal of the Royal Statistical Society, Series B 63: 253-280.
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Notes:

Reprinted in "Stochastic Volatility: Selected Readings," (editor Neil Shephard), Oxford University Press, 480-514, 2005. Reprinted in "Financial Risk Measurement and Management" (editor Francis X. Diebold), Edward Elgar.

Last updated on 01/08/2020