Realized variance and market microstructure noise

Journal of Business and Economic Statistics

Volumn 24, Issue 2, 2006, Pages 127-161

  Hansen, Peter R ^a   Lunde, Asger ^b  

^a STANFORD UNIVERSITY   (United States)

^b AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

Bias correction; High frequency data; Integrated variance; Market microstructure noise; Realized variance; Realized volatility; Sampling schemes

Indexed keywords

EID: 33646501534     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000071     Document Type: Article

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