Realized kernels in practice: trades and quotes
From MaRDI portal
Publication:3653354
DOI10.1111/j.1368-423X.2008.00275.xzbMath1179.91259MaRDI QIDQ3653354
Neil Shephard, Peter Reinhard Hansen, Asger Lunde, Ole Eiler Barndorff-Nielsen
Publication date: 22 December 2009
Published in: The Econometrics Journal (Search for Journal in Brave)
market frictions; quadratic variation; realized variance; long run variance estimator; HAC estimator
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