Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...
