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: (note: dependent on reference frame)
gollark: My hosting has an uptime of more than 50%!
gollark: I may need to turn off the `git pull` thing or figure out how to heavily sandbox services in systemd.
gollark: So they both run as the AutoBotRobot account, but Esobot and AutoBotRobot are still separate... codebases.
gollark: Basically, somehow Lyric/Hactar broke Esobot's hosting, so I took matters into my own hands, took the publicly available source code, and ran it on my own server using AutoBotRobot's token.
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