|Original language||English (US)|
|Title of host publication||The New Palgrave Dictionary of Economics|
|Editors||Steven N. Durlauf, Lawrence E. Blume|
|State||Published - 2008|
Realized volatility is a fully nonparametric approach to ex post measurement of the actual realized return variation over a specific trading period. It encompasses specific empirical procedures and an associated continuous-record asymptotic theory for arbitrage-free jump diffusions. It provides the ideal model-free benchmark for volatility model performance evaluation, and it has numerous natural areas of application within financial economics.