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~person:"Lunde, Asger"
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Lunde, Asger
McAleer, Michael
61
Barndorff-Nielsen, Ole E.
38
Nielsen, Morten Ørregaard
37
Shephard, Neil
35
MacKinnon, James G.
31
Sun, Yixiao
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RePEc
14
ECONIS (ZBW)
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1
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
School of Economics and Management, University of Aarhus
-
2015
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...
Persistent link: https://www.econbiz.de/10011268024
Saved in:
2
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
; …
-
HAL
-
2011
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 error of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10010898866
Saved in:
3
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
; …
-
HAL
-
2011
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 error of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10010820536
Saved in:
4
Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
Saved in:
5
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
; …
-
Institute of Economic Research, Hitotsubashi University
-
2009
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/10005784007
Saved in:
6
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
; …
-
School of Economics and Management, University of Aarhus
-
2008
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/10005440064
Saved in:
7
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
; …
-
Economics Group, Nuffield College, University of Oxford
-
2008
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/10005730261
Saved in:
8
Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger
;
Olesen, Kasper V.
-
School of Economics and Management, University of Aarhus
-
2014
. For the conditional
variance
, a small gain is found, but for densities the opposite is the case. We conclude that realized …
Persistent link: https://www.econbiz.de/10010945126
Saved in:
9
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
Lunde, Asger
;
Brix, Anne Floor
-
School of Economics and Management, University of Aarhus
-
2013
approximating integrated volatility by a realized kernel instead of realized
variance
. The PBEFs are also recalculated in the noise …
Persistent link: https://www.econbiz.de/10010851259
Saved in:
10
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
Economics Group, Nuffield College, University of Oxford
-
2006
efficient smooth kernels, such as the Parzen kernel, we show that subsampling is harmful as it increases the asymptotic
variance
…
Persistent link: https://www.econbiz.de/10005687532
Saved in:
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