Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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Publication:737896
DOI10.1016/j.jeconom.2010.07.009zbMath1441.62599MaRDI QIDQ737896
Neil Shephard, Peter Reinhard Hansen, Asger Lunde, Ole Eiler Barndorff-Nielsen
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.009
market frictions; quadratic variation; realised variance; long run variance estimator; HAC estimator
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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