Realized kernels in practice: trades and quotes-Reference-Cited by-同舟云学术

Realized kernels in practice: trades and quotes

Published:2009-11-01 Issue:3 Volume:12 Page:C1-C32
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Barndorff‐Nielsen O. E.¹,Hansen P. Reinhard²,Lunde A.³,Shephard N.⁴

Affiliation:

1. The T.N. Thiele Centre for Mathematics in Natural Science, Department of Mathematical Sciences, and CREATES, University of Aarhus, Ny Munkegade, DK‐8000 Aarhus C, Denmark

2. Department of Economics, Stanford University, Landau Economics Building, 579 Serra Mall, Stanford, CA 94305‐6072, USA

3. Department of Marketing and Statistics, Aarhus School of Business, and CREATES, University of Aarhus, Bartholins Allé 10, DK‐8000 Aarhus C, Denmark

4. Oxford‐Man Institute, and Department of Economics, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6ED, UK

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/12/3/C1/27664306/ectj00c1.pdf

Reference32 articles.

1. Selling and trading on information in financial markets;Admati;American Economic Review,1988

2. A theory of intra day patterns: volume and price variability;Admati;Review of Financial Studies,1988

3. Divide and conquer: a theory of intraday and day‐of‐the‐week mean effects;Admati;Review of Financial Studies,1989

4. Great realizations;Andersen;Risk,2000

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