{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T14:00:36Z","timestamp":1791900036572,"version":"4.3.4"},"reference-count":54,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2002,5,1]],"date-time":"2002-05-01T00:00:00Z","timestamp":1020211200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"funder":[{"DOI":"10.13039\/100008395","name":"Danish Social Science Research Council","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100008395","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Centre for Mathematical Physics and Stochastics"},{"DOI":"10.13039\/501100000269","name":"UK's Economic and Social Research Council","doi-asserted-by":"publisher","award":["R00023839"],"award-info":[{"award-number":["R00023839"]}],"id":[{"id":"10.13039\/501100000269","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2002,5,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>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\u2014the 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.<\/jats:p>","DOI":"10.1111\/1467-9868.00336","type":"journal-article","created":{"date-parts":[[2003,5,6]],"date-time":"2003-05-06T11:13:15Z","timestamp":1052219595000},"page":"253-280","source":"Crossref","is-referenced-by-count":1738,"title":["Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models"],"prefix":"10.1093","volume":"64","author":[{"given":"Ole E.","family":"Barndorff-Nielsen","sequence":"first","affiliation":[{"name":"University of Aarhus , Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Neil","family":"Shephard","sequence":"additional","affiliation":[{"name":"Nuffield College , Oxford , UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2002,6,20]]},"reference":[{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"975","DOI":"10.1111\/j.1540-6261.1997.tb02722.x","article-title":"Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns","volume":"52","author":"Andersen","year":"1997","journal-title":"J. Finan."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/S0927-5398(97)00004-2","article-title":"Intraday periodicity and volatility persistence in financial markets","volume":"4","year":"1997","journal-title":"J. Emp. Finan."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"885","DOI":"10.2307\/2527343","article-title":"Answering the skeptics: yes, standard volatility models do provide accurate forecasts","volume":"39","year":"1998","journal-title":"Int. Econ. Rev."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1111\/0022-1082.85732","article-title":"Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies","volume":"53","year":"1998","journal-title":"J. Finan."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","article-title":"The distribution of realised stock return volatility","volume":"61","author":"Andersen","year":"2001","journal-title":"J. Finan. Econ."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"159","DOI":"10.17578\/4-3\/4-2","article-title":"Exchange rate returns standardised by realised volatility are (nearly) Gaussian","volume":"4","author":"Andersen","year":"2000","journal-title":"Multinatn. Finan. J."},{"key":"2023040108504792700_","first-page":"42","article-title":"The distribution of exchange rate volatility","volume":"92","year":"2001","journal-title":"J. Am. Statist. Ass."},{"key":"2023040108504792700_","article-title":"Rolling-sampling volatility estimators: some new theoretical, simulation and empirical results","volume":"19","author":"Andreou","year":"2001","journal-title":"J. Bus. Econ. Statist."},{"key":"2023040108504792700_","article-title":"The realised volatility of FTSE-100 futures prices","volume":"22","author":"Areal","year":"2002","journal-title":"J. Fut. Markts"},{"key":"2023040108504792700_","volume-title":"Beyond Merton's utopia: effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data","author":"Bai","year":"2000"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1007\/s007800050032","article-title":"Processes of normal inverse Gaussian type","volume":"2","author":"Barndorff","year":"1998","journal-title":"Finan. Stochast."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1137\/S0040585X97978166","article-title":"Superposition of Ornstein-Uhlenbeck type processes","volume":"45","year":"2001","journal-title":"Theory Probab. Applic."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4899-3424-6","volume-title":"Asymptotic Techniques for Use in Statistics","author":"Barndorff-Nielsen","year":"1989"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"439","DOI":"10.1098\/rsta.1990.0125","article-title":"Parametric modelling of turbulence","volume":"332","author":"Barndorff-Nielsen","year":"1990","journal-title":"Phil. Trans. R. Soc. Lond."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1111\/1467-9868.00282","article-title":"Non-Gaussian Ornstein\u2013Uhlenbeck-based models and some of their uses in financial economics (with discussion)","volume":"63","author":"Barndorff-Nielsen","year":"2001","journal-title":"J. R. Statist. Soc."},{"key":"2023040108504792700_","volume-title":"How accurate is the asymptotic approximation to the distribution of realised volatility?","year":"2001"},{"key":"2023040108504792700_","volume-title":"Realised power variation and stochastic volatility","year":"2001"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"2959","DOI":"10.1016\/S1573-4412(05)80018-2","article-title":"ARCH models","volume":"4","author":"Bollerslev","year":"1994","journal-title":"The Handbook of Econometrics"},{"key":"2023040108504792700_","article-title":"Estimating stochastic volatility diffusion using conditional moments of integrated volatility","author":"Bollerslev","year":"2001","journal-title":"J. Econometr."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/S0304-405X(98)00034-8","article-title":"The relation between implied and realized volatility","volume":"37","author":"Christensen","year":"1998","journal-title":"J. Finan. Econ."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"135","DOI":"10.2307\/1913889","article-title":"A subordinated stochastic process model with fixed variance for speculative prices","volume":"41","author":"Clark","year":"1973","journal-title":"Econometrica"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1111\/1467-9965.00057","article-title":"Long memory in continuous-time stochastic volatility models","volume":"8","author":"Comte","year":"1998","journal-title":"Math. Finan."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1111\/j.1467-9892.1991.tb00087.x","article-title":"Long-range dependence, non-linearity and time irreversibility","volume":"12","author":"Cox","year":"1991","journal-title":"J. Time Ser. Anal."},{"key":"2023040108504792700_","volume-title":"An Introduction to High-frequency Finance","author":"Dacorogna","year":"2001"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"185","DOI":"10.1016\/0304-4076(95)01737-2","article-title":"Modeling volatility persistence of speculative returns: a new approach","volume":"73","author":"Ding","year":"1996","journal-title":"J. Econometr."},{"key":"2023040108504792700_","volume-title":"Ox: Object Oriented Matrix Programming, 3.0","author":"Doornik","year":"2001"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"959","DOI":"10.1111\/1468-0262.00226","article-title":"Likelihood inference for discretely observed non-linear diffusions","volume":"69","author":"Elerian","year":"2001","journal-title":"Econometrica"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"475","DOI":"10.1093\/oso\/9780198296836.003.0020","volume-title":"Cointegration, Causality, and Forecasting: a Festschrift in Honour of Clive W. J. Granger","author":"Engle","year":"1999"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"139","DOI":"10.2307\/2171927","article-title":"Continuous record asymptotics for rolling sample variance estimators","volume":"64","author":"Foster","year":"1996","journal-title":"Econometrica"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"369","DOI":"10.1016\/S0378-3758(99)00109-3","article-title":"Covariance matrix estimation for estimators of mixing weak ARMA models","volume":"83","author":"Francq","year":"2000","journal-title":"J. Statist. Planng Inf."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1093\/biomet\/84.1.125","article-title":"Estimating stochastic differential equations efficiently by minimum chi-square","volume":"84","author":"Gallant","year":"1997","journal-title":"Biometrika"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"1051","DOI":"10.2307\/3318471","article-title":"Stochastic volatility as hidden Markov models and statistical applications","volume":"6","author":"Genon-Catalot","year":"2000","journal-title":"Bernoulli"},{"key":"2023040108504792700_","first-page":"119","volume-title":"Stochastic volatility","author":"Ghysels","year":"1996"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"S85","DOI":"10.1002\/jae.3950080507","article-title":"Indirect inference","volume":"8","author":"Gourieroux","year":"1993","journal-title":"J. Appl. Econometr."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1016\/0304-4076(80)90092-5","article-title":"Long memory relationships and the aggregation of dynamic models","volume":"14","author":"Granger","year":"1980","journal-title":"J. Econometr."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"2023040108504792700_","volume-title":"Forecasting, Structural Time Series Models and the Kalman Filter","author":"Harvey","year":"1989"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","DOI":"10.1093\/0198283164.001.0001","volume-title":"Dynamic Econometrics","author":"Hendry","year":"1995"},{"key":"2023040108504792700_","volume-title":"The Theory of Functions of a Real Variable and the Theory of Fourier's Series","author":"Hobson","year":"1927"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"361","DOI":"10.1111\/1467-937X.00050","article-title":"Stochastic volatility: likelihood inference and comparison with ARCH models","volume":"65","author":"Kim","year":"1998","journal-title":"Rev. Econ. Stud."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1111\/1368-423X.00023","article-title":"Statistical algorithms for models in state space using Ssf-Pack 2.2","volume":"2","author":"Koopman","year":"1999","journal-title":"Econometr. J."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1007\/BF02420592","article-title":"Integrale, longuer, aire","volume":"7","author":"Lebesgue","year":"1902","journal-title":"Ann. Math. Pura Applic."},{"key":"2023040108504792700_","article-title":"Nonlinear features of realised FX volatility","volume":"83","author":"Maheu","year":"2001","journal-title":"Rev. Econ. Statist."},{"key":"2023040108504792700_","article-title":"Temporal aggregation of volatility models","author":"Meddahi","year":"2002","journal-title":"J. Econometr."},{"key":"2023040108504792700_","volume-title":"Introduction to Measure and Integration","author":"Munroe","year":"1953"},{"key":"2023040108504792700_","first-page":"1124","article-title":"The persistence of volatility and stock market fluctuations","volume":"76","author":"Poterba","year":"1986","journal-title":"Am. Econ. Rev."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"1115","DOI":"10.1111\/j.1540-6261.1989.tb02647.x","article-title":"Why does stock market volatility change over time","volume":"44","author":"Schwert","year":"1989","journal-title":"J. Finan."},{"key":"2023040108504792700_","first-page":"1","volume-title":"Time Series Models in Econometrics, Finance and Other Fields","author":"Shephard","year":"1996"},{"key":"2023040108504792700_","volume-title":"Density Estimation for Statistical and Data Analysis","author":"Silverman","year":"1986"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1111\/1368-423X.00042","article-title":"Prediction based estimating equations","volume":"3","author":"S\u00f8rensen","year":"2000","journal-title":"Econometr. J."},{"key":"2023040108504792700_","volume-title":"Modelling Financial Time Series","author":"Taylor","year":"1986"},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1111\/j.1467-9965.1994.tb00057.x","article-title":"Modelling stochastic volatility","volume":"4","year":"1994","journal-title":"Math. Finan."},{"key":"2023040108504792700_","doi-asserted-by":"crossref","first-page":"317","DOI":"10.1016\/S0927-5398(97)00010-8","article-title":"The incremental volatility information in one million foreign exchange quotations","volume":"4","author":"Taylor","year":"1997","journal-title":"J. Emp. Finan."},{"key":"2023040108504792700_","volume-title":"Prediction and Regulation","author":"Whittle","year":"1983"}],"container-title":["Journal of the Royal Statistical Society Series B: Statistical Methodology"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2F1467-9868.00336","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2F1467-9868.00336","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/64\/2\/253\/49721760\/jrsssb_64_2_253.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"syndication"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/64\/2\/253\/49721760\/jrsssb_64_2_253.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,6]],"date-time":"2024-01-06T13:35:12Z","timestamp":1704548112000},"score":1,"resource":{"primary":{"URL":"https:\/\/academic.oup.com\/jrsssb\/article\/64\/2\/253\/7098420"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,1]]},"references-count":54,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2002,6,20]]},"published-print":{"date-parts":[[2002,5,1]]}},"URL":"https:\/\/doi.org\/10.1111\/1467-9868.00336","relation":{},"ISSN":["1369-7412","1467-9868"],"issn-type":[{"value":"1369-7412","type":"print"},{"value":"1467-9868","type":"electronic"}],"subject":[],"published-other":{"date-parts":[[2002,5]]},"published":{"date-parts":[[2002,5,1]]}}}