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Journal of Financial Econometrics Vol. 2, No. 1, pp. 37-48
© 2004 Oxford University Press; all rights reserved.

Discussion

Torben G. Andersen
     Northwestern University and National Bureau of Economic Research

Address correspondence to Torben G. Andersen, Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University, 2001 Sheridan Rd., Evanston, IL 60208, or e-mail: t-andersen@kellogg.northwestern.edu.

The first 150 words of the full text of this article appear below.

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.


   1 PERSONAL REFLECTIONS ON THE EVOLUTION OF THE REALIZED VOLATILITY APPROACH
 
At the risk of appearing self-indulgent, I will try to communicate my own sense of discovery through my involvement with these broad research topics over many years. I feel it is the best way to explain what "all the fuss is about." In the second phase of the process, BNS are a critical ingredient in this — to me — fascinating scientific process. Let me further warn in advance that I make no attempt at citing related work in any comprehensive manner — it is simply not possible in an . . . [Full Text of this Article]


   2 A PERSPECTIVE ON SOME OF THE CONTRIBUTIONS BY BNS
 

   3 A DISCUSSION OF TERMINOLOGY
 

   4 INTUITION AND QUESTIONS ON THE REALIZED POWER VARIATION RESULT
 

   5 ON REALIZED BIPOWER VARIATION AND JUMP ESTIMATION
 

   6 CONCLUSION
 

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