Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 34 (2014) 4, pp. 2377-2386
The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...