Aarhus University Seal / Aarhus Universitets segl

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

Publikation: Working paperForskning

Dokumenter

  • Institut for Matematiske Fag
  • T.N. Thiele Centre
This paper shows how to use realised 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 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 estimator in the parametric version of this problem. Realised kernels can also be selected to (i) be analysed using endogenously spaced data such as that in databases on transactions, (ii) allow for market frictions which are endogenous, (iii) allow for temporally dependent noise. The finite sample performance of our estimators is studied using simulation, while empirical work illustrates their use in practice.
OriginalsprogEngelsk
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider47
StatusUdgivet - 9 jun. 2006

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 3778859