Original language | English (US) |
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Title of host publication | Encyclopedia of Quantitative Finance |
Editors | Rama Cont, Ole Barndorff-Nielsen, Eric Renault |
Publisher | John Wiley & Sons, Ltd. |
ISBN (Electronic) | 9780470061602 |
DOIs | |
State | Published - 2010 |
Abstract
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.