Ubukata, Masato; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2011
bias caused by the microstructure noise by setting the sample mean of realized volatility equal to the sample variance of … daily returns, is used, the other methods for taking account of microstructure noise do not necessarily improve the … useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure …