Chaboud, Alain P.; Chiquoine, Benjamin; Hjalmarsson, Erik; … - In: Journal of Empirical Finance 17 (2010) 2, pp. 212-240
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using the standard...