A realized variance for the whole day based on intermittent high-frequency data

Journal of Financial Econometrics

Volumn 3, Issue 4, 2005, Pages 525-554

  Hansen, Peter Reinhard ^a   Lunde, Asger ^b  

^a STANFORD UNIVERSITY   (United States)

^b AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

High frequency data; Market microstructure noise; Realized variance

Indexed keywords

EID: 26444560173     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi028     Document Type: Article

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