Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

被引：779

作者：

Barndorff-Nielsen, Ole E. ^{[1
,2
]}

Hansen, Peter Reinhard ^{[3
]}

Lunde, Asger ^{[4
]}

Shephard, Neil ^{[5
,6
]}

机构：

[1] Univ Aarhus, Dept Math Sci, TN Thiele Ctr Math Nat Sci, DK-8000 Aarhus, Denmark

[2] Univ Aarhus, CREATES, DK-8000 Aarhus, Denmark

[3] Stanford Univ, Dept Econ, Stanford, CA 94305 USA

[4] Univ Aarhus, Aarhus Sch Business, Dept Mkt & Stat, DK-8210 Aarhus V, Denmark

[5] Univ Oxford, Oxford Man Inst, Oxford OX1 4EH, England

[6] Univ Oxford, Dept Econ, Oxford OX1 4EH, England

来源：

ECONOMETRICA | 2008年 / 76卷 / 06期

基金：

新加坡国家研究基金会;

关键词：

Bipower variation; long-run variance estimator; market frictions; quadratic variation; realized variance;

D O I：

10.3982/ECTA6495

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

This paper shows how to use realized 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 equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as that in data bases on transactions, (ii) allow for market frictions which are endogenous, and (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.

引用

页码：1481 / 1536

页数：56

共 77 条

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How often to sample a continuous-time process in the presence of market microstructure noise [J].