Feng, Yuanhua; Zhou, Chen - Department Volkswirtschaftslehre, Fachbereich für … - 2015
Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated … volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the … within a period of several years. Further analysis of the obtained realized kernels using a most recently proposed …