Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Journal of Econometrics

Volumn 162, Issue 2, 2011, Pages 149-169

  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

HAC estimator; Long run variance estimator; Market frictions; Quadratic variation; Realised variance

Indexed keywords

HAC ESTIMATOR; LONG-RUN VARIANCE; MARKET FRICTIONS; QUADRATIC VARIATION; REALISED VARIANCE;

COMMERCE; FRICTION;

ESTIMATION;

EID: 79955072598     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.07.009     Document Type: Article

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