Nolte, Ingmar; Voev, Valeri - School of Economics and Management, University of Aarhus - 2009
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression …, Realized volatility, Market microstruc-
ture
∗We would like to thank Peter Hansen, Asger Lunde, Mark Podolskij, Almut Veraart … value of sums of squared intraday returns (realized variance)
gives rise to a least squares regression which adapts itself …