certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days … higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling …

certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select … contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U …