Concepedia

Realized Kernel Estimation

Realized Kernel Estimation is a nonparametric method for estimating daily integrated volatility that employs kernel-based weighting schemes to mitigate microstructure noise in high-frequency financial return data.

23

Publications

3.3K

Citations

34

Authors

38

Institutions

Publications per year

2017–2026

3

Parents

Publications

23

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrica · 2008 · 1.3K citations

, , +17

Realized kernels in practice: trades and quotes

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrics Journal · 2009 · 673 citations

, , +15

Quasi-maximum likelihood estimation of volatility with high frequency data

Dacheng Xiu · Journal of Econometrics · 2010 · 282 citations

, , +17

Comparison of Volatility Measures: a Risk Management Perspective

Christian T. Brownlees, Giampiero M. Gallo · Journal of Financial Econometrics · 2009 · 193 citations

, , +17

A blocking and regularization approach to high‐dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj, Roel C. A. Oomen · Journal of Applied Econometrics · 2010 · 132 citations

, , +17

1–5 of 23

Authors

34

  1. AL
    Asger Lunde

    Aarhus University, Denmark

    5 publications · 2.1K citations

    5

    h-index

  2. PR
    Peter Reinhard Hansen

    Aarhus University, Denmark

    3 publications · 2K citations

    3

    h-index

  3. LM
    Lada M. Kyj

    Humboldt-Universität zu Berlin, Germany

    3 publications · 243 citations

    3

    h-index

  4. NH
    Nikolaus Hautsch

    University of Vienna, Austria

    3 publications · 243 citations

    3

    h-index

  5. NS
    Neil Shephard

    University of Oxford, United Kingdom

    3 publications · 2K citations

    3

    h-index

1–5 of 34

Institutions

38

  1. Aarhus University

    Aarhus, Denmark

    6 h-index

    9 publications

    4.1K citations

  2. University of Oxford

    Oxford, United Kingdom

    4 h-index

    4 publications

    2.1K citations

  3. Stanford University

    Stanford, United States

    3 h-index

    3 publications

    2K citations

  4. Humboldt-Universität zu Berlin

    Berlin, Germany

    3 h-index

    3 publications

    243 citations

  5. University of Vienna

    Vienna, Austria

    2 h-index

    2 publications

    111 citations

  6. Ritsumeikan University

    Kyoto, Japan

    1 h-index

    1 publications

    17 citations

  7. New York University

    New York, United States

    1 h-index

    1 publications

    193 citations

  8. Satya Wacana Christian University

    Salatiga, Indonesia

    1 h-index

    1 publications

    23 citations

1–8 of 38

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 141 citations

    4

    h-index

  2. Journal of Business and Economic Statistics

    JBES · 3 publications · 161 citations

    3

    h-index

  3. Journal of Financial Econometrics

    3 publications · 227 citations

    3

    h-index

  4. Journal of Forecasting

    2 publications · 95 citations

    2

    h-index

  5. Journal of Applied Econometrics

    2 publications · 214 citations

    2

    h-index

1–5