@article {108811, title = {Econometric analysis of realised volatility and its use in estimating stochastic volatility models}, journal = {Journal of the Royal Statistical Society, Series B}, volume = {63}, year = {2002}, note = {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.}, pages = {253-280}, author = {Barndorff-Nielsen, Ole E. and Neil Shephard} }