|Original language||English (US)|
|Title of host publication||Encyclopedia of Quantitative Finance|
|Editors||Rama Cont, Ole Barndorff-Nielsen, Eric Renault|
|Publisher||John Wiley & Sons, Ltd.|
|State||Published - 2010|
This article reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from high-frequency observations which provide consistent and asymptotically normal estimates of the underlying return variation. The article discusses applications of these measures for reduced-form volatility modeling and forecasting as well as testing for the presence of jumps.