NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg

NBER Working Paper No. 17152
Issued in June 2011

---- Acknowledgements -----

We thank participants at the 2010 SETA Conference at Singapore Management University and the "Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant,'' Toulouse, France, May 2011, along with Federico Bandi, Peter R. Hansen, Andrew Patton, Peter C. B. Phillips and Kevin Sheppard for comments on an earlier draft. Excellent research assistance was provided by Patrick Mason. Andersen gratefully acknowledges financial support from the NSF through a grant to the NBER and by CREATES funded by the Danish National Research Foundation. The views in this paper are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, any other person associated with the Federal Reserve System, or the National Bureau of Economic Research.

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