Bias-correcting the realized range-based variance in the presence of market microstructure noise

DOI10.1007/s00780-009-0089-9zbMath1189.62182OpenAlexW2136796521MaRDI QIDQ964674

Mark Podolskij, Mathias Vetter, Kim Christensen

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0089-9

zbMATH Keywords

bias correctionintegrated variancerealized variance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items

Testing for jumps when asset prices are observed with noise -- a ``swap variance approach ⋮ Subsampling high frequency data ⋮ An Unbiased Measure of Integrated Volatility in the Frequency Domain ⋮ Volatility Estimation Based on High-Frequency Data ⋮ Realised volatility and parametric estimation of Heston SDEs ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise

Uses Software

• Ox

Cites Work

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