We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for estimating the...

We call the realized variance (RV), calculated with observed prices contaminated by (market) microstructure noises (MNs), the noise-contaminated RV (NCRV), and refer to the bias component in the NCRV, associated with the MNs, as the MN component. This paper develops a state space method for...

We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a method for estimating the integrated variance...

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...

This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...

This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR-SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility...