We show that the Truncated Realized Variance (TRV) of a semimartingale asset price converges to zero when observations are contaminated by microstructure noises. Under the additive iid noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible...

This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line with only positive weights. The state-of-the-art...

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange (ASE). Using intraday data I rst construct four state-of-the-art realized correlation estimators which I...

This paper investigates the economic value of dierent non-parametric realized volatility estimates in Efficient Frontier, Global Minimum Variance,Capital Market Line and Capital Market Line with only positive weights portfolio types. The dataset concerns the CAC40 index, the DAX index and the...

In experimental designs with nested structures entire groups (such as schools) are often assigned to treatment conditions. Key aspects of the design in these cluster randomized experiments include knowledge of the intraclass correlation structure and the sample sizes necessary to achieve...