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...
| Publicado en: | Review of Economic Studies Vol. 75; no. 2; pp. 339 - 370 |
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| Autores principales: | , |
| Formato: | Artículo |
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Oxford University Press / UK
April 2008
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| Acceso en línea: | Ver este registro en EBSCOhost |