Realized kernels in practice: trades and quotes (Q3653354)

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Realized kernels in practice: trades and quotes
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    title
    Realized kernels in practice: trades and quotes (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
    22 December 2009
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    zbMATH DE Number
    5651356
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    zbMATH Keywords
    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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