Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
Year of publication: |
2004-11-01
|
---|---|
Authors: | Shephard, Neil |
Institutions: | Department of Economics, Oxford University |
Subject: | Quadratic Variation | Market Microstructure Noise | Integrated Variance | Kernel-Based Realized Variance | Realized Variance | Realized Volatility |
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