Christensen, Kim; Oomen, Roel; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009
can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present …. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
CREATES Research Paper 2009-27
Realised Quantile-Based Estimation of
the Integrated Variance
Kim Christensen …