Adaptive Realized Kernels
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- Marine Carrasco & Rachidi Kotchoni, 2015. "Adaptive Realized Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 757-797.
- Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers 2011s-29, CIRANO.
- Marine Carrasco & Rachidi Kotchoni, 2014. "Adaptive Realized Kernels," Post-Print hal-01386059, HAL.
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Cited by:
- Ikeda, Shin S., 2016. "A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous," Journal of Econometrics, Elsevier, vol. 193(1), pages 203-214.
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More about this item
Keywords
Integrated Volatility; Method of Moment; Microstructure Noise; Realized Kernels;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2013-10-11 (Market Microstructure)
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