Oya, Kosuke - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1290-1298
The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid–ask bounces and price-change discreteness. Although RV constitutes the simplest estimator of...