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Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536.
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Hansen, P.R., A. Lunde (2006), "Realized
Variance and Market Microstructure Noise”, Journal of Business and Economic Statistics. Vol. 24, pp. 127–218. (The 2005 Invited Address with Discussions and
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Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2011), "Subsampled realised kernels", Journal of
Econometrics, Vol. 160, Issue 1, January 2011, pp. 204–219
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in an environment with noisy high-frequency data, such as financial tick-by-tick data. He co-authored the book "Workbook on
Cointegration" with
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Hansen, P.R., A. Lunde (2006), "Consistent
Ranking of Volatility Models", Journal of Econometrics, Vol. 131, pp. 97–121.
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Hansen, P.R., (2005), "Test for
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Hansen, Peter
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