Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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Publication:3548513
DOI10.3982/ECTA6495zbMath1153.91416OpenAlexW2128569377WikidataQ60587744 ScholiaQ60587744MaRDI QIDQ3548513
Peter Reinhard Hansen, Neil Shephard, Asger Lunde, Ole Eiler Barndorff-Nielsen
Publication date: 15 December 2008
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta6495
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
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