Barndorff-Nielsen, Ole E., Silvia Kinnebrouk, and Neil Shephard. 2010. “Measuring downside risk: realised semivariance.” Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, (Edited by T. Bollerslev, J. Russell and M. Watson), 117-136. Oxford University Press.
Barndorff-Neilsen, Ole E, and Neil Shephard. 2010. “Measuring and modelling volatility.” Encyclopedia of Quantitative Finance, (edited by Rama Cont), 1898-1901. Chichester, UK: John Wiley and Sons, Ltd.
Our "Realized library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History database. Realised measures are not volatility forecasts. However, some researchers use these measures as an input into forecasting models. The realized measures are computed every night and recorded on the website.