Masuda, Hiroki; Morimoto, Takayuki - 2009
break, where we have no trading, entailing inevitable
increase of variance in estimating daily volatility via naive realized …
forecasting of daily volatility.
JEL classiflcation: C19, C22, C51
Keywords: high-frequency data, market microstructure noise …, realized
volatility, Japanese stock markets, variance of realized variance
⁄We thank Peter Hansen and many others for their …