Mancini, Cecilia - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
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...