Lee, Tae Suk (1976; Ploberger, Werner; Yildiz, Nese
considered by Podolskij and Vetter (2009). We relax their assumptions on the properties of market microstructure noise in order … over previously-considered pre-averaging estimators. Because our methodology and assumptions on the market microstructure … noise component are general, our estimator can also be applied to multivariate time series without any need to correct for …