Finance:Realized kernel
From HandWiki
The realized kernel (RK) is an estimator of volatility. The estimator is typically computed with high frequency return data, such as second-by-second returns. Unlike the realized variance, the realized kernel is a robust estimator of volatility, in the sense that the realized kernel estimates the appropriate volatility quantity, even when the returns are contaminated with noise. [1]
Notes
- ↑ Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil (November 2008). "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise". Econometrica 76: 1481–1536. doi:10.3982/ECTA6495. Archived from the original on 2011-07-26. https://web.archive.org/web/20110726230752/http://www.econometricsociety.org/abstract.asp?ref=0012-9682&vid=76&iid=6&aid=9&s=-9999.
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