Properties of Realized Variance Under Alternative Sampling Schemes
Author:
- 1 April 2006
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 24 (2) , 219-237
Abstract
This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies o...Keywords
This publication has 38 references indexed in Scilit:
- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure NoiseThe Review of Financial Studies, 2005
- The stochastic conditional duration model: a latent variable model for the analysis of financial durationsJournal of Econometrics, 2004
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial EconomicsEconometrica, 2004
- Modeling and Forecasting Realized VolatilityEconometrica, 2003
- The Fine Structure of Asset Returns: An Empirical InvestigationThe Journal of Business, 2002
- The distribution of realized stock return volatilityJournal of Financial Economics, 2001
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesThe Journal of Finance, 1998
- A Theory of Intraday Patterns: Volume and Price VariabilityThe Review of Financial Studies, 1988
- A Simplified Jump Process for Common Stock ReturnsJournal of Financial and Quantitative Analysis, 1983