The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Open accessAbstract
Summary: The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Forecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
Zhang, L., Mykland, P., & Ait-Sahalia, Y. (2003) · National Bureau of Economic Research · doi:10.3386/w10111 · Cited by 1,373
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Zhang, L., Mykland, P. A., & Aït-Sahalia, Y. (2005) · Journal of the American Statistical Association · doi:10.1198/016214505000000169 · Cited by 1,306
Realized Variance and Market Microstructure Noise
Hansen, P. R., & Lunde, A. (2006) · Journal of Business & Economic Statistics · doi:10.1198/073500106000000071 · Cited by 1,160
Stock Market Volatility and Macroeconomic Fundamentals
Engle, R. F., Ghysels, E., & Sohn, B. (2013) · Review of Economics and Statistics · doi:10.1162/rest_a_00300 · Cited by 1,117
Metadata
- Authors
- Barndorff-Nielsen, O. E., & Shephard, N.
- Venue
- Journal of the Royal Statistical Society Series B: Statistical Methodology
- Publisher
- Oxford University Press (OUP)
- Published
- 2002-05-01
- Volume
- 64
- Issue
- 2
- Pages
- 253-280
- ISSN
- 1369-7412 (ISSN-L)
- 1467-9868
- OpenAlex
- W2140585983
- Cited by
- 2,215
- References
- 1
- FWCI
- 83.61
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models. https://app.cochat.ai/papers/10.1111/1467-9868.00336
- The paper
- Barndorff-Nielsen, O. E., & Shephard, N. (2002). Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models. Journal of the Royal Statistical Society Series B: Statistical Methodology. https://doi.org/10.1111/1467-9868.00336
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
