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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; … - 2008

Persistent link: https://www.econbiz.de/10003807445

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; … - 2008

Persistent link: https://www.econbiz.de/10003818473

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; … - 2009

Persistent link: https://www.econbiz.de/10003854421

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; … - In: Journal of econometrics 162 (2011) 2, pp. 149-169

Persistent link: https://www.econbiz.de/10009270667

Apparent scaling

Barndorff-Nielsen, Ole E.; Prause, Karsten - In: Finance and stochastics 5 (2001) 1, pp. 103-113

Persistent link: https://www.econbiz.de/10001553054

Apparent scaling

Barndorff-Nielsen, Ole E.; Prause, Karsten - 1999

Persistent link: https://www.econbiz.de/10001456583

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; … - 2010

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/10014216875