Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Publication information:
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: 253-80.
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.