How accurate is the asymptotic approximation to the distribution of realised volatility?

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  • 1 January 2001
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      • Published in RePEc
Abstract
In this paper we study the reliability of the mixed normal asymptotic distribution of realised volatility error, which we have previously derived using the theory of realised power variation. Our experiments suggests that the asymptotics is reliable when we work with the logarithmic transform of the realised volatility.
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