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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Realised kernels in practice: trades and quotes
Realised kernels in practice: trades and quotes
Publication information:
Barndorff-Nielsen, Ole E., Peter Hansen, Asger Lunde, and Neil Shephard. 2009. “Realised Kernels in Practice: Trades and Quotes”.
Econometrics Journal
12: C1-C32.
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