Subsampling realised kernels (Q737277)

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Subsampling realised kernels
scientific article

    Statements

    title
    Subsampling realised kernels (English)
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    author
    Peter Reinhard Hansen
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    Asger Lunde
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    Neil Shephard
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    publication date
    10 August 2016
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    zbMATH Keywords
    long run variance estimator
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    market frictions
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    quadratic variation
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    realised kernel
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    realised variance
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    subsampling
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    Identifiers

    zbMATH DE Number
    6610573
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