Realized kernels in practice: trades and quotes

被引：335
作者：
Barndorff-Nielsen, O. E. [1 ,2 ]
Hansen, P. Reinhard [3 ]
Lunde, A. [2 ,4 ]
Shephard, N. [5 ,6 ]
机构：
[1] Univ Aarhus, Dept Math Sci, TN Thiele Ctr Math Nat Sci, DK-8000 Aarhus C, Denmark
[2] Univ Aarhus, CREATES, DK-8000 Aarhus C, Denmark
[3] Stanford Univ, Dept Econ, Stanford, CA 94305 USA
[4] Univ Aarhus, Aarhus Sch Business, Dept Mkt & Stat, DK-8000 Aarhus C, Denmark
[5] Univ Oxford, Oxford Man Inst, Oxford OX2 6ED, England
[6] Univ Oxford, Dept Econ, Oxford OX2 6ED, England
来源：
ECONOMETRICS JOURNAL | 2009年 / 12卷 / 03期
关键词：
HAC estimator; Long run variance estimator; Market frictions; Quadratic variation; Realized variance; CONSISTENT COVARIANCE-MATRIX; MARKET MICROSTRUCTURE NOISE; HIGH-FREQUENCY DATA; ECONOMETRIC-ANALYSIS; VOLATILITY; VARIANCE; HETEROSKEDASTICITY;
D O I：
10.1111/j.1368-423X.2008.00275.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
P>Realized kernels use high-frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same stock and find a remarkable level of agreement. We identify some features of the high-frequency data, which are challenging for realized kernels. They are when there are local trends in the data, over periods of around 10 minutes, where the prices and quotes are driven up or down. These can be associated with high volumes. One explanation for this is that they are due to non-trivial liquidity effects.
引用
收藏
页码：C1 / C32
页数：32
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