How accurate is the asymptotic approximation to the distribution of realised volatility?
Publication information:
Barndorff-Nielsen, Ole E., and Neil Shephard. 2005. “How Accurate Is the Asymptotic Approximation to the Distribution of Realised Volatility?”. In Identification and Inference for Econometric Models. A Festschrift for Tom Rotheberg, (edited by Donald W.K. Andrews and James H. Stock), 306-31. Cambridge University Press.