Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
scientific article |
Statements
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (English)
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15 December 2008
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bipower variation
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long-run variance estimator
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market frictions
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quadratic variation
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realized variance
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