Realized kernels in practice: trades and quotes

DOI10.1111/j.1368-423X.2008.00275.xzbMath1179.91259OpenAlexW3121532596MaRDI QIDQ3653354

Peter Reinhard Hansen, Neil Shephard, Asger Lunde, Ole Eiler Barndorff-Nielsen

Publication date: 22 December 2009

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00275.x

zbMATH Keywords

market frictions quadratic variation realized variance long run variance estimator HAC estimator

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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