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The observed asymptotic variance : hard edges, and a regression approach

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Assessment of uncertainty in high frequency data : the observed asymptotic variance

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A tale of two time scales : determining integrated volatility with noisy high-frequency data

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Ultra high frequency volatility estimation with dependent microstructure noise

Aït-Sahalia, Yacine (contributor); … - 2005

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for...