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Realized Volatility

Authors: Torben G. Andersen; Luca Benzoni;

Realized Volatility

Abstract

Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying quadratic return variation when returns are sampled at increasingly higher frequency. The authors begin with an account of how and why the procedure works in a simplified setting and then extend the discussion to a more general framework. Along the way, they clarify how the realized volatility and quadratic return variation relate to the more commonly applied concept of conditional return variance. They then review a set of related and useful notions of return variation along with practical measurement issues (e.g., discretization error and microstructure noise) before briefly touching on the existing empirical applications.

Keywords

Stochastischer Prozess, Kapitalertrag, ddc:330, Zeitreihenanalyse, Stochastic analysis, Volatilität, Theorie

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
9
Top 10%
Average
Average
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