Realized kernel
The realized kernel (RK) is an estimator of volatility. The estimator is typically computed with high frequency return data, such as second-by-second returns. Unlike the realized variance, the realized kernel is a robust estimator of volatility, in the sense that the realized kernel estimates the appropriate volatility quantity, even when the returns are contaminated with noise. [1]
Notes
- Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil (November 2008). "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise". Econometrica. 76: 1481–1536. doi:10.3982/ECTA6495. Archived from the original on 2011-07-26.
gollark: ... OCaml? But it's not very low level.
gollark: ++deploy Rust
gollark: Rust *will* be initiated.
gollark: Yes. None are safe.
gollark: Very late, but I know some Latin.
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.