Subsampling Realised Kernels

By Ole E. Barndorff-Nielsen, P. R. Hansen, Asger Lunde, N. Shephard. 2007

110 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Epidemiology, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d2cdf3c43e6b27e856d0476f6a7bc0d5d3286fa8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Asger Lunde
2. N. Shephard
3. P. R. Hansen
4. Michael Mcaleer
5. Marcelo C. Medeiros
6. Yacine Aït-Sahalia
7. Ole E. Barndorff-Nielsen
8. Lan Zhang

In Epidemiology

1. Michael Mcaleer
2. Marcelo C. Medeiros

In Statistics and Probability

1. N. Shephard
2. Asger Lunde
3. Michael Mcaleer
4. Ole E. Barndorff-Nielsen
5. P. R. Hansen
6. Marcelo C. Medeiros
7. Yacine Aït-Sahalia
8. Lan Zhang

Citations in the corpus

• Estimating correlation from high, low, opening and closing prices (2008, background): “Indeed, the recent work of (Barndorff-Nielsen et al., 2006) confirms this, showing estimates of volatility which vary very substantially from day to day.”
• Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “This is also in line with the empirical evidence on the magnitude of the microstructure noise in Barndorff-Nielsen et al. (2006a).”
• Realized kernels in practice: trades and quotes (2009, methodology): “Finally, we note that our approach to discipline the trade data using quotes, T4, has formerly be applied in only Hansen and Lunde (2006), Barndorff-Nielsen et al. (2006), and BarndorffNielsen et al. (2008a).”
• Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016, unknown): “We use an overall sample frequency of five minutes and adopt the refresh sampling scheme of Barndorff-Nielsen et al. (2011b).”
• Edgeworth Expansions for Realized Volatility and Related Estimators (2011, background): “Also, since the development of the two scale estimators, two other classes of estimators have been developed for this problem: realized kernels ( Barndor-Nielsen et al. (2008, 2009) ), and pre-averaging (Podolskij and Vetter (2009) Jacod et al. (2009)).”
• Realized Volatility: A Review (2008, methodology): “Barndorff-Nielsen et al. (2006a) showed that, if H = cn2/3t , then the resulting estimator is asymptotically mixed Gaussian, converging at rate n1/6t .”
• The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009, unknown): “Barndorff-Nielsen, Hansen, Lunde Shephard (2008) ).”