Subsampling realised kernels

DOI10.1016/J.JECONOM.2010.03.031zbMATH Open1441.62598OpenAlexW2139635135MaRDI QIDQ737277FDOQ737277

Authors: Peter Reinhard Hansen, Asger Lunde, Ole E. Barndorff-Nielsen, Neil Shephard 

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

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zbMATH Keywords

subsamplingquadratic variationmarket frictionsrealised variancelong run variance estimatorrealised kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Subsampling
• The jackknife and the bootstrap for general stationary observations
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• The Distribution of Realized Exchange Rate Volatility
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
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• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Ultra high frequency volatility estimation with dependent microstructure noise
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• ANOVA for diffusions and Itō processes

Cited In (24)

• Realized Volatility: A Review
• Volatility estimation based on high-frequency data
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
• Firm's volatility risk under microstructure noise
• Title not available (Why is that?)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Subsampling high frequency data
• On the use of high frequency measures of volatility in MIDAS regressions
• On high frequency estimation of the frictionless price: the use of observed liquidity variables
• Assessing the quality of volatility estimators via option pricing
• An unbiased measure of integrated volatility in the frequency domain
• Efficient asymptotic variance reduction when estimating volatility in high frequency data
• Edgeworth expansions for realized volatility and related estimators
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
• Realized kernels in practise : trades and quotes
• Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
• Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• On the sum of two subnormal kernels
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• A Markov chain estimator of multivariate volatility from high frequency data
• Subsampling the distribution of diverging statistics with applications to finance
• Inference from high-frequency data: a subsampling approach
• Estimating covariation: Epps effect, microstructure noise

Uses Software

• Ox

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