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, 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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (109) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2008.00275.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c1-c32
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().