Subsampling realised kernels.
In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend our...
| Main Authors: | , , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2006
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