The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid-ask bounces and price changes discreteness. Though RV constitutes the simplest estimator of daily...

The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid–ask bounces and price-change discreteness. Although RV constitutes the simplest estimator of...