Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of Econometrics 147 (2008) 1, pp. 17-33
We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV)Â computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on...