Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated … volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the … within a period of several years. Further analysis of the obtained realized kernels using a most recently proposed …

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic … highest frequency. Some time dependence parameters of the noise model must be estimated before adaptive realized kernels can … Jones Industrial. As expected, we …nd that adaptive realized kernels achieves the optimal trade-off between the …