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Kristensen, 2010 - Google Patents

Nonparametric filtering of the realized spot volatility: A kernel-based approach

Kristensen, 2010

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Document ID
1955254425208354636
Author
Kristensen D
Publication year
Publication venue
Econometric Theory

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Snippet

A kernel weighted version of the standard realized integrated volatility estimator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator …
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