Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen, Peter Hansen (), Asger Lunde and Neil Shephard ()

Econometrica, 2008, vol. 76, issue 6, pages 1481-1536

Abstract: This paper shows how to use realized kernels to carry out efficient feasible inference on the ex post variation of underlying equity prices in the presence of simple models of market frictions. The weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as that in data bases on transactions, (ii) allow for market frictions which are endogenous, and (iii) allow for temporally dependent noise. The finite sample performance of our estimators is studied using simulation, while empirical work illustrates their use in practice. Copyright 2008 The Econometric Society.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/10.3982/ECTA6495 link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006)
Working Paper: Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006)
Working Paper: Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecm:emetrp:v:76:y:2008:i:6:p:1481-1536

Ordering information: This journal article can be ordered from
http://www.blackwell ... mb.asp?ref=0012-9682

Access Statistics for this article

Econometrica is edited by Stephen Morris

More articles in Econometrica from Econometric Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().