Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001
In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility … by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion … compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the …