
doi: 10.2139/ssrn.1092203
handle: 10419/70563
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.
Stochastischer Prozess, Kapitalertrag, ddc:330, Zeitreihenanalyse, Stochastic analysis, Volatilität, Theorie
Stochastischer Prozess, Kapitalertrag, ddc:330, Zeitreihenanalyse, Stochastic analysis, Volatilität, Theorie
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