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 bandwidth. This paper proposes an iterative plug-in...

We propose a fast data-driven procedure for decomposing seasonal time series using the Berlin Method, the software used by the German Federal Statistical Office in this context. Formula of the asymptotic optimal bandwidth h_A is obtained. Meth- ods for estimating the unknowns in h_A are...

This paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied...