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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. Copyright 2008 The Econometric Society.
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Cited by
Realized kernels in practice: trades and quotes
Barndorff‐Nielsen, O. E., Hansen, P. R., Lunde, A., & Shephard, N. (2009) · The Econometrics Journal · doi:10.1111/j.1368-423x.2008.00275.x · Cited by 640
Exploiting the errors: A simple approach for improved volatility forecasting
Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2015.10.007 · Cited by 444
Risk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
Threats to central bank independence: High-frequency identification with twitter
Bianchi, F., Gómez-Cram, R., Kind, T., & Kung, H. (2023) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2023.01.001 · Cited by 89
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?
Feng, Y., Zhang, Y., & Wang, Y. (2024) · Journal of Forecasting · doi:10.1002/for.3046 · Cited by 22
Metadata
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2008
- Volume
- 76
- Issue
- 6
- Pages
- 1481-1536
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2128569377
- Cited by
- 1,228
- References
- 0
- FWCI
- 125.98
- Type
- journal article
- Language
- en
- Open access
- closed
- Licence
- doi.wiley.com/10.1002/tdm_license_1.1 (tdm, 2800 d)
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