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Croatian Review of Economic, Business and Social Statistics
Volume 6 (2020): Issue 1 (May 2020)
Open Access
Realized density estimation using intraday prices
Josip Arnerić
Josip Arnerić
University of Zagreb, Faculty of Economics and Business
Croatia
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Arnerić, Josip
Jun 08, 2020
Croatian Review of Economic, Business and Social Statistics
Volume 6 (2020): Issue 1 (May 2020)
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Published Online:
Jun 08, 2020
Page range:
1 - 9
Received:
Nov 26, 2019
Accepted:
May 06, 2020
DOI:
https://doi.org/10.2478/crebss-2020-0001
Keywords
bandwidth selection
,
intraday prices
,
Kernel density
,
realized moments
,
sampling frequency selection
,
two-time scale estimator
© 2020 Josip Arnerić, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
