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Realized kernels in practice: trades and quotes

Nielsen, O.E. Barndorff et al.

Realized kernels in practice: trades and quotes 2009 - 2009 - C1-C32 V. 12 Issue. 3

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: HAC estimator;Long run variance estimator;Market frictions;Quadratic variation;Relized variance;

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