Realized kernels in practice: trades and quotes (Q3653354): Difference between revisions
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| Property / DOI: 10.1111/j.1368-423X.2008.00275.x / rank | |||
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| Property / full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00275.x / rank | |||
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| Property / OpenAlex ID: W3121532596 / rank | |||
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Latest revision as of 15:10, 21 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized kernels in practice: trades and quotes |
scientific article |
Statements
Realized kernels in practice: trades and quotes (English)
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22 December 2009
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HAC estimator
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long run variance estimator
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market frictions
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quadratic variation
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realized variance
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