Realized kernels in practice: trades and quotes

By Ole E. Barndorff-Nielsen, P. R. Hansen, Asger Lunde, N. Shephard. 2009

616 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8b2b901e0dfa61c2f1b21626661d3f12320a3ecf

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Citations in the corpus

Outlyingness weighted covariation (2011, positive): “Prior to the analysis, we apply the filters presented in Barndorff-Nielsen et al. (2009) to remove the obvious outliers from the data.”
A Practical Guide to Volatility Forecasting through Calm and Storm (2011, positive): “We construct this series from NYSE-TAQ intradaily mid-quotes (filtered with procedures described in Brownlees and Gallo (2006) and Barndorff-Nielsen et al (2009)).”
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016, methodology): “For the individual diagonal elements of [Y ], the estimands are the integrated variances (IV) σ 2i = ∫ 1 0 iidu, the estimators are the univariate realized kernels σ̂ 2i = RK(Xi) with bandwidths determined as in Barndorff-Nielsen et al. (2009).”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, methodology): “Therefore, we employ the thorough data-cleaning procedure suggested by Barndorff-Nielsen et al. (2008) in order to remove defective 9 observations.”
New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “We first clean the high-frequency data following the guidelines of Brownlees and Gallo (2006) and Barndorff-Nielsen et al. (2009).”
High-Dimensional Copula-Based Distributions with Mixed Frequency Data (2016, positive): “We obtain high frequency transaction data on these stocks from the NYSE TAQ database, and clean these data following Barndorff-Nielsen et al. (2009), see Bollerslev et al.”
Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, background): “prices that are below the bid minus the bid-ask spread; see Barndor-Nielsen, Hansen, Lunde, and Shephard (2009) for the details and discussion of these rules.8 After cleaning the data,”
Optimal combinations of realised volatility estimators (2009, methodology): “The fourth set of estimators are the “realised kernels” (RK) of Barndorff-Nielsen et al. (2008), BNHLS henceforth.”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, methodology): “In this paper we follow the step-by-step cleaning procedure used in Barndorff-Nielsen et al. (2009) who discuss in detail the various choices available and their impact on univariate realised kernels.”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, methodology): “The high-frequency transaction data are cleaned according to the filtering algorithm described in Barndorff-Nielsen et al. (2009), and the multivariate realized kernel by Barndorff-Nielsen et al. (2011) is used as our realized measures of volatility and co-volatility.”
Exploiting the errors: A simple approach for improved volatility forecasting (2016, methodology): “We follow Barndorff-Nielsen et al. (2009) and use a Parzen kernel with their recommended choice of bandwidth.”