Realized kernels in practice: trades and quotes
Ole Barndorff-Nielsen (),
P. Reinhard Hansen,
Asger Lunde () and
Neil Shephard ()
Econometrics Journal, 2009, vol. 12, issue 3, pages C1-C32
Realized kernels use high-frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same stock and find a remarkable level of agreement. Copyright The Author(s). Journal compilation Royal Economic Society 2009
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