A feasible central limit
theory for realised volatility under leverage
Ole E. Barndorff-Nielsen
Department of Mathematical Sciences, University of Aarhus, Ny Munkegade,
DK-8000 Aarhus C, Denmark
Nuffield College, Oxford OX1 1NF, UK.
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.
approximation; Functional central limit theory; Quadratic variation;
Realised volatility; Stochastic volatility.
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