The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Realized Volatility

  • Torben G. Andersen
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2648

Abstract

Realized volatility is a fully nonparametric approach to ex post measurement of the actual realized return variation over a specific trading period. It encompasses specific empirical procedures and an associated continuous-record asymptotic theory for arbitrage-free jump diffusions. It provides the ideal model-free benchmark for volatility model performance evaluation, and it has numerous natural areas of application within financial economics.

Keywords

Affine models of the term structure Conditional return variance Derivative prices Econophysics Forecasting Historical volatility Integrated variance Jumps Martingales Microstructure noise Parametric time series models Realized volatility Return volatility Stochastic volatility models Yield curve 
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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Torben G. Andersen
    • 1
  1. 1.