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~person:"Shephard, Neil"
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Shephard, Neil
McAleer, Michael
61
Barndorff-Nielsen, Ole E.
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37
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31
Sun, Yixiao
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Antonakakis, Nikolaos
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Zeng, Yan
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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
HAL
-
2011
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10010898866
Saved in:
2
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
HAL
-
2011
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10010820536
Saved in:
3
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
Institute of Economic Research, Hitotsubashi University
-
2009
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10005784007
Saved in:
4
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
School of Economics and Management, University of Aarhus
-
2008
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10005440064
Saved in:
5
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
;
Hansen, …
-
Department of Economics, Oxford University
-
2008
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first...
Persistent link: https://www.econbiz.de/10005047824
Saved in:
6
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
Economics Group, Nuffield College, University of Oxford
-
2008
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10005730261
Saved in:
7
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
-
Department of Economics, Oxford University
-
2006
achieve the best possible rate of convergence and to have an asymptotic
variance
which is close to that of the maximum …
Persistent link: https://www.econbiz.de/10010820319
Saved in:
8
Subsampling realised kernels
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
-
Department of Economics, Oxford University
-
2006
efficient smooth kernels, such as the Parzen kernel, we show that subsampling is harmful as it increases the asymptotic
variance
…
Persistent link: https://www.econbiz.de/10004977846
Saved in:
9
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
Economics Group, Nuffield College, University of Oxford
-
2006
efficient smooth kernels, such as the Parzen kernel, we show that subsampling is harmful as it increases the asymptotic
variance
…
Persistent link: https://www.econbiz.de/10005687532
Saved in:
10
Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E.
;
Shephard, Neil
-
2004
variance
in stochastic volatility models, thus providing a model-free and consistent alternative to realized
variance
. Its … realized
variance
and realized bipower variation estimates the quadratic variation of the jump component. This seems to be the …
Persistent link: https://www.econbiz.de/10009441547
Saved in:
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