Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2011 - Rev.
microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. Since such errors are ignored, we need to take …