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Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise.

Abstract:

This paper shows how to use realized kernels to carry out efficient feasible inference on the ex post variation of underlying equity prices in the presence of simple models of market frictions. The weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as ...

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Publisher copy:
10.3982/ECTA6495

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Journal:
Econometrica
Volume:
76
Issue:
6
Publication date:
2008-01-01
DOI:
URN:
uuid:1a0300dc-c6a4-482d-bc3e-6b486e55814d
Local pid:
oai:economics.ouls.ox.ac.uk:10425
Language:
English

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