Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
This paper shows how to use realised 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 varia...
| Main Authors: | , , , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2007
|