Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Year of publication: |
2006-05-01
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Authors: | Shephard, Neil ; Barndorff-Nielsen, Ole E. |
Institutions: | Department of Economics, Oxford University |
Subject: | Bipower Variation | Long Run Variance Estimator | Market Frictions | Quadratic Variation | Realised Variance |
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Shephard, Neil, (2006)
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