Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Publication information:
Barndorff-Nielsen, Ole E., Peter Hansen, Asger Lunde, and Neil Shephard. 2008. “Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise”. Econometrica 76: 1481-1536.