Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset.

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Year of publication:	2012
Authors:	Shin, Dong Wan ; Park, Sangun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 334-337
Publisher:	Elsevier
Subject:	Efficiency \| Factoring likelihood \| Realized variance

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Type of publication:	Article
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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