Hansen, Peter; Large, Jeremy; Lunde, Asger - In: Econometric Reviews 27 (2008) 1-3, pp. 79-111
We examine moving average (MA) filters for estimating the integrated variance (IV) of a financial asset price in a framework where high-frequency price data are contaminated with market microstructure noise. We show that the sum of squared MA residuals must be scaled to enable a suitable...