Realized Kernels in Practice: Trades and Quotes.
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...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2009
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