Subsampling realised kernels
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Publication:737277
DOI10.1016/j.jeconom.2010.03.031zbMath1441.62598OpenAlexW2139635135MaRDI QIDQ737277
Peter Reinhard Hansen, Neil Shephard, Asger Lunde, Ole Eiler Barndorff-Nielsen
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.031
market frictionsquadratic variationsubsamplingrealised variancelong run variance estimatorrealised kernel
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Uses Software
Cites Work
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