Realized Volatility

Research output: Chapter in Book/Report/Conference proceedingEntry 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 languageEnglish (US)
Title of host publicationThe New Palgrave Dictionary of Economics
EditorsSteven N. Durlauf, Lawrence E. Blume
PublisherPalgrave Macmillan
Edition2nd
StatePublished - 2008

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