Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo - 2022
The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which … integrated volatility but also of the spot volatility; (iii) we show the relevance of the estimator in the prediction of the … variance of the cost of a simulated VWAP execution. Overall we find that, for the integrated volatility, the pre …
