The second and fourth author are affiliated with CREATES, a research center funded by the Danish National Research Foundation. An initial version of this paper was circulated in the Autumn of 2004 under the title “Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case With Independent Noise.” We thank Yacine Aït-Sahalia, Clive Bowsher, Xin Huang, Ilze Kalnina, Silja Kinnebrock, Jeremy Large, Nour Meddahi, Ulrich Müller, Per Mykland, Mark Podolskij, Joe Romano, George Tauchen, Lan Zhang, anonymous referees, and the co-editor, Whitney Newey, for valuable comments. The Ox language of Doornik (2006) was used to perform the calculations reported here.
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Version of Record online: 24 NOV 2008
© 2008 The Econometric Society
Volume 76, Issue 6, pages 1481–1536, November 2008
How to Cite
Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A. and Shephard, N. (2008), Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise. Econometrica, 76: 1481–1536. doi: 10.3982/ECTA6495
- Issue online: 24 NOV 2008
- Version of Record online: 24 NOV 2008
- Manuscript received May, 2006; final revision received April, 2008.
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!