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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003367503
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003367588
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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; … - 2008
Persistent link: https://www.econbiz.de/10003807445