under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for …

microstructure noise; bias-correction JEL Classification: C13, C14, G11 ∗We thank participants of the conference on “Multivariate … of microstructure noise the sum of squared intraday returns, called realized variance, is an unbiased and highly … sampling fre- quency. The impact of microstructure noise on the realized covariance estimator has recently received a …

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and … frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies … distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U …

There are many approaches for estimating an integrated variance and covariance in the presence of market microstructure … noise. It is important to know a dependence of noise to construct the integrated variance and covariance estimators. We …

This paper studies empirically the effect of decimalization on volatility and market microstructure noise. We apply … several non-parametric estimators in order to accurately measure volatility and market microstructure noise variance before …

estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept …