Volatility and realized quadratic variation of differenced returns: A wavelet method approach

Research output: Working paperResearch


  • F 2008 06

    Final published version, 268 KB, PDF document

  • Esben Høg, Denmark
This paper analyzes some asymptotic results for an alternative estimator of integrated volatility in a continuous-time diffusion process of high frequency data (used in asset pricing finance).

The estimator, which is computationally efficient, is based on the quadratic variation of the second order log-price differences. This is contrary to the well known realized quadratic variation of intra daily returns (which is based on first order log-price differences). This latter is known as realized volatility.

Analytically, the asymptotics of the proposed estimator is compared to the usual realized volatility estimators. Lastly, we provide some simulation experiments to illustrate the results.

Original languageEnglish
PublisherAarhus School of Business, Aarhus University
Number of pages21
ISBN (Electronic)9788778823663
Publication statusPublished - 2008

    Research areas

  • continuous-time methods, quadratic variation, realized volatility, second order quadratic variation

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