Oomen, Roel C. A. - Abteilung "Marktprozesse und Steuerung", … - 2004
This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In … particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when …, that is, the highest available frequency at which the serial correlation of returns has a negligible impact on the realized …