Microstructure Noise, Realized Variance, and Optimal Sampling.

A recent and extensive literature has pioneered the summing of squared observed intra-daily returns, “realized variance”, to estimate the daily integrated variance of financial asset prices, a traditional object of economic interest. We show that, in the presence of market microstructure noise, real...

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Bibliographic Details

Published in:	Review of Economic Studies Vol. 75; no. 2; pp. 339 - 370
Main Authors:	Bandi, F. M., Russell, J. R.
Format:	Article
Published:	Oxford University Press / UK April 2008
Subjects:	Information theory in economics Statistical sampling Variances
Online Access:	View this record in EBSCOhost