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

Abstract: 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

Date: 2009
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