A Feasible Central Limit Theory for Realised Volatility Under Leverage
Nuffield College Economics Working Paper No. 2004-W3
Posted: 3 Feb 2004
Date Written: January 14, 2004
In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the limit theory performs well in practice.
Keywords: Euler approximation, Functional central limit theory, Quadratic variation, Realised volatility, Stochastic volatility
JEL Classification: C14, C22, G12
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