Nielsen, Morten Ørregaard; Frederiksen, Per - In: Journal of Empirical Finance 15 (2008) 2, pp. 265-286
We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, Fourier, and wavelet estimation, when a typical sample of high-frequency data is observed. We employ several different generating mechanisms for the instantaneous volatility process, e.g....