Machine generated contents note: 1 Classical Statistical Procedures -- 1.1 Introduction -- 1.2 The Score Vector, the Information Matrix, and the Cramer-Rao -- Lower Bound -- 1.3 Maximum Likelihood Estimators and Test Procedures -- 1.4 Nuisance Parameters -- 1.5 Differentiation and Asymptotics --...

It is well known that the bias called market microstructure noise will arise, when estimating realized co-volatility matrix which is calculated as a sum of cross products of intraday high-frequency returns. An existing conventional technique for removing such a market microstructure noise is to...