Aarhus University Seal / Aarhus Universitets segl

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

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Standard

Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. / Barndorff-Nielsen, Ole Eiler; Hansen, P.R.; Lunde, Asger; Shephard, N.

I: Econometrica, Bind 76, Nr. 6, 2008, s. 1481-1536.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Harvard

APA

CBE

MLA

Vancouver

Author

Bibtex

@article{55d20380e5f411dc9afb000ea68e967b,
title = "Designing realized kernels to measure the ex post variation of equity prices in the presence of noise",
abstract = "This paper shows how to use realized 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 weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as that in data bases on transactions, (ii) allow for market frictions which are endogenous, and (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.",
author = "Barndorff-Nielsen, {Ole Eiler} and P.R. Hansen and Asger Lunde and N. Shephard",
year = "2008",
doi = "10.3982/ECTA6495",
language = "English",
volume = "76",
pages = "1481--1536",
journal = "Econometrica",
issn = "0012-9682",
publisher = "Wiley-Blackwell Publishing Ltd.",
number = "6",

}

RIS

TY - JOUR

T1 - Designing realized kernels to measure the ex post variation of equity prices in the presence of noise

AU - Barndorff-Nielsen, Ole Eiler

AU - Hansen, P.R.

AU - Lunde, Asger

AU - Shephard, N.

PY - 2008

Y1 - 2008

N2 - This paper shows how to use realized 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 weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as that in data bases on transactions, (ii) allow for market frictions which are endogenous, and (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.

AB - This paper shows how to use realized 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 weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as that in data bases on transactions, (ii) allow for market frictions which are endogenous, and (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.

U2 - 10.3982/ECTA6495

DO - 10.3982/ECTA6495

M3 - Journal article

VL - 76

SP - 1481

EP - 1536

JO - Econometrica

JF - Econometrica

SN - 0012-9682

IS - 6

ER -