Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011
microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. As such errors are ignored, we need to take …