Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513)
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scientific article; zbMATH DE number 5382486
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| English | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
scientific article; zbMATH DE number 5382486 |
Statements
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (English)
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15 December 2008
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bipower variation
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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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0.8382660746574402
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0.8157708048820496
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0.8061953186988831
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0.7941138744354248
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