Subsampling realised kernels

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 204-219

  Barndorff Nielsen, Ole E ^a   Hansen, Peter Reinhard ^b   Lunde, Asger ^a   Shephard, Neil ^c,d  

^a AARHUS UNIVERSITY   (Denmark)

^b STANFORD UNIVERSITY   (United States)

^c UNIVERSITY OF OXFORD   (United Kingdom)

^d UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Long run variance estimator; Market frictions; Quadratic variation; Realised kernel; Realised variance; Subsampling

Indexed keywords

LONG-RUN VARIANCE; MARKET FRICTIONS; QUADRATIC VARIATIONS; REALISED KERNEL; REALISED VARIANCE; SUBSAMPLING;

ASYMPTOTIC ANALYSIS; FRICTION;

ESTIMATION;

EID: 78649747040     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.031     Document Type: Conference Paper

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