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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.

Abstract:

This paper shows how to use realised kernels to carry out efficient feasible inference on the expost variation of underlying equity prices in the presence of simple models of market frictions. The issue is subtle with only estimators which have symmetric weights delivering consistent estimators with mixed Gaussian limit theorems. The weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which is close to that of the maximum likelihood estima...

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Authors


Ole E. Barndorff-Nielsen More by this author
Peter Reinhard Hansen More by this author
Asger Lunde More by this author
Neil Shephard More by this author
Volume:
264
Series:
Discussion paper series
Publication date:
2006
URN:
uuid:45a28f7b-fa9b-4d6b-8ae3-5865458d7e7d
Local pid:
oai:economics.ouls.ox.ac.uk:13521
Language:
English

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