Subsampling Realised Kernels
Copyright policy )Subsampling Realised Kernels
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- University of North Carolina at Chapel Hill United States
- Copenhagen Business School Denmark
- University of Oxford United Kingdom
- Stanford University United States
- Aarhus University Denmark
Applications of statistics to actuarial sciences and financial mathematics, market frictions, long run variance estimator, quadratic variation, Bipower variation; Long run variance estimator; Market frictions; Quadratic variation; Realised kernel; Realised variance; Subsampling., subsampling, realised variance, Applications of statistics to economics, realised kernel, jel: jel:C13, jel: jel:C22
Applications of statistics to actuarial sciences and financial mathematics, market frictions, long run variance estimator, quadratic variation, Bipower variation; Long run variance estimator; Market frictions; Quadratic variation; Realised kernel; Realised variance; Subsampling., subsampling, realised variance, Applications of statistics to economics, realised kernel, jel: jel:C13, jel: jel:C22
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