Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...

In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle idea of regularization from linear regression to covariance estimation in a continuous-time high-frequency setting....

We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance - a statistic that replaces every squared return of realized variance with a normalized squared range. If the entire sample path of the process is...