Discussion
- 1 January 2004
- journal article
- Published by Oxford University Press (OUP) in Journal of Financial Econometrics
- Vol. 2 (1) , 37-48
- https://doi.org/10.1093/jjfinec/nbh002
Abstract
I am honored and pleased to be given the opportunity to comment on this invited paper by Barndorff-Nielsen and Shephard (hereafter BNS). Beyond commenting on this particular contribution, it gives me an opportunity to reflect on the intuition behind and the origin of the rapidly evolving literature on realized volatility modeling — a development BNS have influenced and helped shape.Keywords
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