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: | , , , |
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2007
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| _version_ | 1797053685057978368 |
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| author | Barndorff-Nielsen, O Hansen, P Lunde, A Shephard, N |
| author_facet | Barndorff-Nielsen, O Hansen, P Lunde, A Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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 variance which is close to that of the maximum likelihood estimator in the parametric version of this problem. Realised kernels can also be selected to (i) be analysed using endogenously spaced data such as that in databases on transactions, (ii) allow for market frictions which are endogenous, (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. |
| first_indexed | 2024-03-06T18:47:09Z |
| format | Working paper |
| id | oxford-uuid:0ee66947-1749-43c0-ae23-a403ae2b23c4 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:47:09Z |
| publishDate | 2007 |
| publisher | Oxford-Man Institute of Quantitative Finance |
| record_format | dspace |
| spelling | oxford-uuid:0ee66947-1749-43c0-ae23-a403ae2b23c42022-03-26T09:48:30ZDesigning realised kernels to measure the ex-post variation of equity prices in the presence of noise.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:0ee66947-1749-43c0-ae23-a403ae2b23c4EnglishOxford University Research Archive - ValetOxford-Man Institute of Quantitative Finance2007Barndorff-Nielsen, OHansen, PLunde, AShephard, NThis 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 variance which is close to that of the maximum likelihood estimator in the parametric version of this problem. Realised kernels can also be selected to (i) be analysed using endogenously spaced data such as that in databases on transactions, (ii) allow for market frictions which are endogenous, (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. |
| spellingShingle | Barndorff-Nielsen, O Hansen, P Lunde, A Shephard, N Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title_full | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title_fullStr | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title_full_unstemmed | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title_short | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. |
| title_sort | designing realised kernels to measure the ex post variation of equity prices in the presence of noise |
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