This paper offers a new and easy-to-implement projection-based approach to the identification of integrated volatility under the contamination from market microstructure noises. In stead of the typical two stage bias correction or optimal sampling procedure, we demonstrate that a precise...

The square-root-of-time rule (SRTR) is popular in assessing multi-period VaR; however, it makes several unrealistic assumptions. We examine and reconcile different stylized factors in returns that contribute to the SRTR scaling distortions. In complementing the use of the variance ratio test, we...

In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation between...