Sampling returns for realized variance calculations: Tick time or transaction time?

Econometric Reviews

Volumn 27, Issue 1-3, 2008, Pages 230-253

  Griffin, Jim E ^a   Oomen, Roel C A ^b,c,d  

^a UNIVERSITY OF KENT   (United Kingdom)

^b DEUTSCHE BANK AG   (Germany)

^c UNIVERSITY OF WARWICK   (United Kingdom)

^d UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Market microstructure noise; Optimal sampling; Pure jump process; Realized variance; Tick time; Transaction time

Indexed keywords

EID: 40549141813     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930701873341     Document Type: Article

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