An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
Year of publication: |
2009-02
|
---|---|
Authors: | Masuda, Hiroki ; Morimoto, Takayuki |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | high-frequency data | market microstructure noise | realized volatility | Japanese stock markets | variance of realized variance |
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