Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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DOI10.1111/1467-9868.00336zbMath1059.62107OpenAlexW2140585983WikidataQ60587741 ScholiaQ60587741MaRDI QIDQ4670770

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 22 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00336

zbMATH Keywords

subordination Kalman filter superposition Lévy process quadratic variation power variation quarticity Leverage

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99)

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