Fractional Integration and Fat Tails for Realized Covariance Kernels*
Author:
Affiliation:
1. Vrije Universiteit Amsterdam and Tinbergen Institute
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/17/1/66/27359150/nby029.pdf
Reference38 articles.
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4. Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models;Barndorff-Nielsen;Journal of the Royal Statistical Society: Series B (Statistical Methodology),2002
5. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise;Barndorff-Nielsen;Econometrica,2008
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