Journal article
Realized Kernels in Practice: Trades and Quotes.
- Abstract:
-
Realized kernels use high-frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same stock and find a remarkable level of agreement. We identify some features of the high-frequency data, which are challenging for realized kernels. They are when there are local trends in the data, over pe...
Expand abstract
Actions
Access Document
- Files:
-
-
(Preview, pdf, 4.6KB, Terms of use)
-
- Publisher copy:
- 10.1111/j.1368-423X.2008.00275.x
Authors
Bibliographic Details
- Publisher:
- Blackwell Publishing
- Journal:
- Econometrics Journal More from this journal
- Volume:
- 12
- Issue:
- 3
- Pages:
- 1 - 32
- Publication date:
- 2009-01-01
- DOI:
- ISSN:
-
1368-4221
Item Description
- Language:
-
English
- UUID:
-
uuid:84a20231-70be-42e8-a5df-699c7742f875
- Local pid:
-
oai:economics.ouls.ox.ac.uk:14636
- Deposit date:
-
2011-08-16
Terms of use
- Copyright date:
- 2009
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record