Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

• Material Type: 文書・図像類
• Title: Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
• Author/Editor: Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
• Author Heading: Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2009-03
• Publication Date (W3CDTF): 2009-03
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: HAC estimator; Long run variance estimator; Market frictions; Quadratic variation; Realised variance
• Target Audience: 一般
• Note (General): July 25, 2008; グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/17121/gd08-037.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://gcoe.ier.hit-u.ac.jp/english/index.html
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 37
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be...