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Regular and modified kernel-based estimators of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491800
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Regular and modified kernel-based estimator of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004
Persistent link: https://www.econbiz.de/10002704173
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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; … - 2010
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/10014216875
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-219
Persistent link: https://www.econbiz.de/10009242524
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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; … - In: Journal of econometrics 162 (2011) 2, pp. 149-169
Persistent link: https://www.econbiz.de/10009270667
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003363996
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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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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/10003818473
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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
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003385904