Realized Volatility

Torben G Andersen

Realized Volatility

Finance

Research output: Chapter in Book/Report/Conference proceeding › Entry for encyclopedia/dictionary

Abstract

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.

Original language	English (US)
Title of host publication	The New Palgrave Dictionary of Economics
Editors	Steven N. Durlauf, Lawrence E. Blume
Publisher	Palgrave Macmillan
Edition	2nd
State	Published - 2008

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title = "Realized Volatility",

abstract = "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.",

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year = "2008",

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AB - 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.

M3 - Entry for encyclopedia/dictionary

BT - The New Palgrave Dictionary of Economics

A2 - Durlauf, Steven N.

A2 - Blume, Lawrence E.

PB - Palgrave Macmillan

ER -

Realized Volatility

Abstract

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